Robust high-dimensional precision matrix estimation
The dependency structure of multivariate data can be analyzed using the covariance matrix $\Sigma$. In many fields the precision matrix $\Sigma^{-1}$ is even more informative. As the sample covariance estimator is singular in high-dimensions, it cannot be used to obtain a precision matrix estimator....
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Zusammenfassung: | The dependency structure of multivariate data can be analyzed using the
covariance matrix $\Sigma$. In many fields the precision matrix $\Sigma^{-1}$
is even more informative. As the sample covariance estimator is singular in
high-dimensions, it cannot be used to obtain a precision matrix estimator. A
popular high-dimensional estimator is the graphical lasso, but it lacks
robustness. We consider the high-dimensional independent contamination model.
Here, even a small percentage of contaminated cells in the data matrix may lead
to a high percentage of contaminated rows. Downweighting entire observations,
which is done by traditional robust procedures, would then results in a loss of
information. In this paper, we formally prove that replacing the sample
covariance matrix in the graphical lasso with an elementwise robust covariance
matrix leads to an elementwise robust, sparse precision matrix estimator
computable in high-dimensions. Examples of such elementwise robust covariance
estimators are given. The final precision matrix estimator is positive
definite, has a high breakdown point under elementwise contamination and can be
computed fast. |
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DOI: | 10.48550/arxiv.1501.01219 |