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Cross-validated bandwidth selection for precision matrix estimation

Conference Paper


Abstract


  • Inverse covariance matrix, a.k.a. precision matrix, has wide applications in signal processing and is often estimated from training samples. The quality of estimation can be poor when the sample support is low. Banding/tapering are effective regularization approaches for covariance and precision matrix estimation but the bandwidth must be properly chosen. This paper investigates the bandwidth selection problem for banding/tapering-based precision matrix estimation. Exploiting a regression analysis interpretation of the precision matrix, we design a data-driven cross-validation (CV) method for automatically tuning the bandwidth. The effectiveness of the proposed method is demonstrated by numerical examples under a quadratic loss.

Publication Date


  • 2018

Citation


  • J. Tong, J. Xi, Y. Yu & P. O. Ogunbona, "Cross-validated bandwidth selection for precision matrix estimation," in IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP): Proceedings, 2018, pp. 4479-4483.

Scopus Eid


  • 2-s2.0-85054238888

Start Page


  • 4479

End Page


  • 4483

Place Of Publication


  • United States

Abstract


  • Inverse covariance matrix, a.k.a. precision matrix, has wide applications in signal processing and is often estimated from training samples. The quality of estimation can be poor when the sample support is low. Banding/tapering are effective regularization approaches for covariance and precision matrix estimation but the bandwidth must be properly chosen. This paper investigates the bandwidth selection problem for banding/tapering-based precision matrix estimation. Exploiting a regression analysis interpretation of the precision matrix, we design a data-driven cross-validation (CV) method for automatically tuning the bandwidth. The effectiveness of the proposed method is demonstrated by numerical examples under a quadratic loss.

Publication Date


  • 2018

Citation


  • J. Tong, J. Xi, Y. Yu & P. O. Ogunbona, "Cross-validated bandwidth selection for precision matrix estimation," in IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP): Proceedings, 2018, pp. 4479-4483.

Scopus Eid


  • 2-s2.0-85054238888

Start Page


  • 4479

End Page


  • 4483

Place Of Publication


  • United States