Shrinking the eigenvalues of M-estimators of covariance matrix

Esa Ollila, Daniel P. Palomar, Frederic Pascal

Research output: Contribution to journalArticleScientificpeer-review

28 Citations (Scopus)

Abstract

A highly popular regularized (shrinkage) covariance matrix estimator is the shrinkage sample covariance matrix (SCM) which shares the same set of eigenvectors as the SCM but shrinks its eigenvalues toward the grand mean of the eigenvalues of the SCM. In this paper, a more general approach is considered in which the SCM is replaced by an M-estimator of scatter matrix and a fully automatic data adaptive method to compute the optimal shrinkage parameter with minimum mean squared error is proposed. Our approach permits the use of any weight function such as Gaussian, Huber's, Tyler's, or t weight functions, all of which are commonly used in M-estimation framework. Our simulation examples illustrate that shrinkage M-estimators based on the proposed optimal tuning combined with robust weight function do not loose in performance to shrinkage SCM estimator when the data is Gaussian, but provide significantly improved performance when the data is sampled from an unspecified heavy-tailed elliptically symmetric distribution. Also, real-world and synthetic stock market data validate the performance of the proposed method in practical applications.

Original languageEnglish
Article number9292452
Pages (from-to)256 - 269
Number of pages14
JournalIEEE Transactions on Signal Processing
Volume69
DOIs
Publication statusPublished - 2021
MoE publication typeA1 Journal article-refereed

Keywords

  • elliptically symmetric distributions
  • M-estimators
  • regularization
  • sample covariance matrix
  • shrinkage

Fingerprint

Dive into the research topics of 'Shrinking the eigenvalues of M-estimators of covariance matrix'. Together they form a unique fingerprint.
  • Robust Statistics for High-dimensional Data

    Ollila, E. (Principal investigator), Raninen, E. (Project Member), Basiri, S. (Project Member), Tabassum, M. N. (Project Member) & Mian, A. (Project Member)

    01/09/201631/12/2020

    Project: Academy of Finland: Other research funding

Cite this