Sparse covariance matrix estimation in high-dimensional deconvolution
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We study the estimation of the covariance matrix Σ of a p-dimensional normal random vector based on n independent observations corrupted by additive noise. Only a general nonparametric assumption is imposed on the distribution of the noise without any sparsity constraint on its covariance matrix. In this high-dimensional semiparametric deconvolution problem, we propose spectral thresholding estimators that are adaptive to the sparsity of Σ. We establish an oracle inequality for these estimators under model miss-specification and derive non-asymptotic minimax convergence rates that are shown to be logarithmic in p/n. We also discuss the estimation of low-rank matrices based on indirect observations as well as the generalization to elliptical distributions. The finite sample performance of the threshold estimators is illustrated in a numerical example.
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