Estimating covariance and precision matrices along subspaces

09/26/2019 ∙ by Zeljko Kereta, et al. ∙ 0

We study the accuracy of estimating the covariance and the precision matrix of a D-variate sub-Gaussian distribution along a prescribed subspace or direction using the finite sample covariance with N ≥ D samples. Our results show that the estimation accuracy depends almost exclusively only on the components of the distribution that correspond to desired subspaces or directions. This is relevant for problems where behavior of data along a lower-dimensional space is of specific interest, such as dimension reduction or structured regression problems. As a by-product of the analysis, we reduce the effect the matrix condition number has on the estimation of precision matrices. Two applications are presented: direction-sensitive eigenspace perturbation bounds, and estimation of the single-index model. For the latter, a new estimator, derived from the analysis, with strong theoretical guarantees and superior numerical performance is proposed.

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