Covariance Estimation under Missing Observations and $L_4-L_2$ Moment Equivalence
Fuente:
arXiv
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| Autore principale: | |
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| Natura: | Preprint |
| Pubblicazione: |
2023
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| _version_ | 1866929385874915328 |
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| author | Abdalla, Pedro |
| author_facet | Abdalla, Pedro |
| contents | We consider the problem of estimating the covariance matrix of a random vector by observing i.i.d samples and each entry of the sampled vector is missed with probability $p$. Under the standard $L_4-L_2$ moment equivalence assumption, we construct the first estimator that simultaneously achieves optimality with respect to the parameter $p$ and it recovers the optimal convergence rate for the classical covariance estimation problem when $p=1$ |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2305_12981 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Covariance Estimation under Missing Observations and $L_4-L_2$ Moment Equivalence Abdalla, Pedro Statistics Theory Probability We consider the problem of estimating the covariance matrix of a random vector by observing i.i.d samples and each entry of the sampled vector is missed with probability $p$. Under the standard $L_4-L_2$ moment equivalence assumption, we construct the first estimator that simultaneously achieves optimality with respect to the parameter $p$ and it recovers the optimal convergence rate for the classical covariance estimation problem when $p=1$ |
| title | Covariance Estimation under Missing Observations and $L_4-L_2$ Moment Equivalence |
| topic | Statistics Theory Probability |
| url | https://arxiv.org/abs/2305.12981 |