IDEAS home Printed from https://ideas.repec.org/a/eee/jmvana/v150y2016icp55-74.html
   My bibliography  Save this article

Minimax rate-optimal estimation of high-dimensional covariance matrices with incomplete data

Author

Listed:
  • Cai, T. Tony
  • Zhang, Anru

Abstract

Missing data occur frequently in a wide range of applications. In this paper, we consider estimation of high-dimensional covariance matrices in the presence of missing observations under a general missing completely at random model in the sense that the missingness is not dependent on the values of the data. Based on incomplete data, estimators for bandable and sparse covariance matrices are proposed and their theoretical and numerical properties are investigated.

Suggested Citation

  • Cai, T. Tony & Zhang, Anru, 2016. "Minimax rate-optimal estimation of high-dimensional covariance matrices with incomplete data," Journal of Multivariate Analysis, Elsevier, vol. 150(C), pages 55-74.
    • Handle: RePEc:eee:jmvana:v:150:y:2016:i:c:p:55-74
    DOI: 10.1016/j.jmva.2016.05.002
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0047259X16300239
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.jmva.2016.05.002?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Joseph Ibrahim & Geert Molenberghs, 2009. "Missing data methods in longitudinal studies: a review," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 18(1), pages 1-43, May.
    2. Joseph Ibrahim & Geert Molenberghs, 2009. "Rejoinder on: Missing data methods in longitudinal studies: a review," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 18(1), pages 68-75, May.
    3. Chen, Song Xi & Zhang, Li-Xin & Zhong, Ping-Shou, 2010. "Tests for High-Dimensional Covariance Matrices," Journal of the American Statistical Association, American Statistical Association, vol. 105(490), pages 810-819.
    4. Cai, Tony & Liu, Weidong, 2011. "Adaptive Thresholding for Sparse Covariance Matrix Estimation," Journal of the American Statistical Association, American Statistical Association, vol. 106(494), pages 672-684.
    5. Rothman, Adam J. & Levina, Elizaveta & Zhu, Ji, 2009. "Generalized Thresholding of Large Covariance Matrices," Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 177-186.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Denis Belomestny & Mathias Trabs & Alexandre Tsybakov, 2017. "Sparse covariance matrix estimation in high-dimensional deconvolution," Working Papers 2017-25, Center for Research in Economics and Statistics.
    2. Zhu, Ziwei & Wang, Tengyao & Samworth, Richard J., 2022. "High-dimensional principal component analysis with heterogeneous missingness," LSE Research Online Documents on Economics 117647, London School of Economics and Political Science, LSE Library.
    3. Park, Seongoh & Lim, Johan, 2019. "Non-asymptotic rate for high-dimensional covariance estimation with non-independent missing observations," Statistics & Probability Letters, Elsevier, vol. 153(C), pages 113-123.
    4. Matthieu Stigler & David Lobell, 2020. "On the benefits of index insurance in US agriculture: a large-scale analysis using satellite data," Papers 2011.12544, arXiv.org, revised Nov 2021.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Guanghui Cheng & Zhengjun Zhang & Baoxue Zhang, 2017. "Test for bandedness of high-dimensional precision matrices," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 29(4), pages 884-902, October.
    2. Ikeda, Yuki & Kubokawa, Tatsuya & Srivastava, Muni S., 2016. "Comparison of linear shrinkage estimators of a large covariance matrix in normal and non-normal distributions," Computational Statistics & Data Analysis, Elsevier, vol. 95(C), pages 95-108.
    3. Wan-Lun Wang, 2019. "Mixture of multivariate t nonlinear mixed models for multiple longitudinal data with heterogeneity and missing values," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 28(1), pages 196-222, March.
    4. Fan, Jianqing & Liao, Yuan & Shi, Xiaofeng, 2015. "Risks of large portfolios," Journal of Econometrics, Elsevier, vol. 186(2), pages 367-387.
    5. Seunghwan Lee & Sang Cheol Kim & Donghyeon Yu, 2023. "An efficient GPU-parallel coordinate descent algorithm for sparse precision matrix estimation via scaled lasso," Computational Statistics, Springer, vol. 38(1), pages 217-242, March.
    6. Peng, Liuhua & Chen, Song Xi & Zhou, Wen, 2016. "More powerful tests for sparse high-dimensional covariances matrices," Journal of Multivariate Analysis, Elsevier, vol. 149(C), pages 124-143.
    7. Jin-Chuan Duan & Weimin Miao, 2016. "Default Correlations and Large-Portfolio Credit Analysis," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(4), pages 536-546, October.
    8. Kashlak, Adam B., 2021. "Non-asymptotic error controlled sparse high dimensional precision matrix estimation," Journal of Multivariate Analysis, Elsevier, vol. 181(C).
    9. Zhou, Jing & Lan, Wei & Wang, Hansheng, 2022. "Asymptotic covariance estimation by Gaussian random perturbation," Computational Statistics & Data Analysis, Elsevier, vol. 171(C).
    10. Zhou Tang & Zhangsheng Yu & Cheng Wang, 2020. "A fast iterative algorithm for high-dimensional differential network," Computational Statistics, Springer, vol. 35(1), pages 95-109, March.
    11. Jian, Zhihong & Deng, Pingjun & Zhu, Zhican, 2018. "High-dimensional covariance forecasting based on principal component analysis of high-frequency data," Economic Modelling, Elsevier, vol. 75(C), pages 422-431.
    12. Maria Gheorghe & Susan Picavet & Monique Verschuren & Werner B. F. Brouwer & Pieter H. M. Baal, 2017. "Health losses at the end of life: a Bayesian mixed beta regression approach," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 180(3), pages 723-749, June.
    13. Zeyu Wu & Cheng Wang & Weidong Liu, 2023. "A unified precision matrix estimation framework via sparse column-wise inverse operator under weak sparsity," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 75(4), pages 619-648, August.
    14. Guo, Wenwen & Cui, Hengjian, 2019. "Projection tests for high-dimensional spiked covariance matrices," Journal of Multivariate Analysis, Elsevier, vol. 169(C), pages 21-32.
    15. Jouni Kuha & Myrsini Katsikatsou & Irini Moustaki, 2018. "Latent variable modelling with non‐ignorable item non‐response: multigroup response propensity models for cross‐national analysis," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 181(4), pages 1169-1192, October.
    16. Qiu, Yumou & Chen, Songxi, 2012. "Test for Bandedness of High Dimensional Covariance Matrices with Bandwidth Estimation," MPRA Paper 46242, University Library of Munich, Germany.
    17. Yang, Guangren & Liu, Yiming & Pan, Guangming, 2019. "Weighted covariance matrix estimation," Computational Statistics & Data Analysis, Elsevier, vol. 139(C), pages 82-98.
    18. Sung Hoon Choi & Donggyu Kim, 2023. "Large Global Volatility Matrix Analysis Based on Observation Structural Information," Papers 2305.01464, arXiv.org, revised Feb 2024.
    19. Sung Hoon Choi & Donggyu Kim, 2022. "Large Volatility Matrix Analysis Using Global and National Factor Models," Papers 2208.12323, arXiv.org, revised Dec 2022.
    20. Chen, Jia & Li, Degui & Linton, Oliver, 2019. "A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables," Journal of Econometrics, Elsevier, vol. 212(1), pages 155-176.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:150:y:2016:i:c:p:55-74. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.