Optimal shrinkage for robust covariance matrix estimators in a small sample size setting

Karina Ashurbekova 1 Antoine Usseglio-Carleve 1 Florence Forbes 1 Sophie Achard 1
1 MISTIS - Modelling and Inference of Complex and Structured Stochastic Systems
Inria Grenoble - Rhône-Alpes, LJK - Laboratoire Jean Kuntzmann, INPG - Institut National Polytechnique de Grenoble
Abstract : When estimating covariance matrices, traditional sample covariance-based estimators are straightforward but suffer from two main issues: 1) a lack of robustness, which occurs as soon as the samples do not come from a Gaussian distribution or are contaminated with outliers and 2) a lack of data when the number of parameters to estimate is too large compared to the number of available observations, which occurs as soon as the covariance matrix dimension is greater than the sample size. The first issue can be handled by assuming samples are drawn from a heavy-tailed distribution, at the cost of more complex derivations, while the second issue can be addressed by shrinkage with the difficulty of choosing the appropriate level of regularization. In this work we offer both a tractable and optimal framework based on shrinked likelihood-based M-estimators. First, a closed-form expression is provided for a regularized covariance matrix estimator with an optimal shrinkage coefficient for any sample distribution in the elliptical family. Then, a complete inference procedure is proposed which can also handle both unknown mean and tail parameter, in contrast to most existing methods that focus on the covariance matrix parameter requiring pre-set values for the others. An illustration on synthetic and real data is provided in the case of the t-distribution with unknown mean and degrees-of-freedom parameters.
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https://hal.archives-ouvertes.fr/hal-02378034
Contributor : Florence Forbes <>
Submitted on : Sunday, November 24, 2019 - 7:36:35 PM
Last modification on : Friday, November 29, 2019 - 2:32:33 AM

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Karina Ashurbekova, Antoine Usseglio-Carleve, Florence Forbes, Sophie Achard. Optimal shrinkage for robust covariance matrix estimators in a small sample size setting. 2019. ⟨hal-02378034⟩

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