DEMS Statistics Seminar: Michael Wolf (University of Zurich)

Thursday 29 September 2022 at 12:00 pm, Room U7-14, building U7 Civitas

Shrinkage Estimation of Large Covariance Matrices: Keep It Simple, Statistician?

Michael Wolf picture
Michael Wolf

Michael Wolf
(University of Zurich)


Under rotation-equivariant decision theory, sample covariance matrix eigenval ues can be optimally shrunk by recombining sample eigenvectors with a (potentially nonlinear) function of the unobservable population covariance matrix. The optimal shape of this function reflects the loss/risk that is to be minimized. We solve the problem of optimal covariance matrix estimation under a variety of loss functions motivated by statistical precedent, probability theory, and differential geometry. A key ingredient of our nonlinear shrinkage methodology is a new estimator of the angle between sample and population eigenvectors, without making strong assumptions on the population eigenvalues. We also introduce a broad family of covariance matrix estimators that can handle all regular functional transformations of the population covariance matrix under large-dimensional asymptotics. In addition, we compare via Monte Carlo simulations our methodology to two simpler ones from the literature, linear shrinkage and shrinkage based on the spiked covariance model.

The seminar will be in presence at Room U7-14, building U7 Civitas.