A Tapering Method in the Construction of Covariance Regularization

Shi Qing Wang; Fei Xia Song

doi:10.4028/www.scientific.net/AMM.204-208.4734

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HomeApplied Mechanics and MaterialsApplied Mechanics and Materials Vols. 204-208A Tapering Method in the Construction of...

A Tapering Method in the Construction of Covariance Regularization

Abstract:

Estimation of Population covariance matrix from samples is important in a wide range of areas of statistical analysis. In the estimation, the sample covariance matrix, which is the most natural and standard estimator, often performs badly. With the collection of large high-dimensional data in scientific investigation, the related covariance matrix becomes complicated to deal with. Therefore, for the convenience in computing and analyzing, we need to simplify the covariance matrix. This method is referred as regularization. In this paper, we will consider a proof for a construction of covariance regularization by tapering.

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Periodical:

Applied Mechanics and Materials (Volumes 204-208)

Pages:

4734-4737

DOI:

https://doi.org/10.4028/www.scientific.net/AMM.204-208.4734

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Online since:

October 2012

Authors:

Shi Qing Wang, Fei Xia Song

Keywords:

Covariance Matrix, Regularization, Tapering

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