Journal
BERNOULLI
Volume 26, Issue 1, Pages 694-727Publisher
INT STATISTICAL INST
DOI: 10.3150/19-BEJ1149
Keywords
covariance estimation; heavy tails; robust estimators; U-statistics
Categories
Funding
- National Science Foundation [DMS1712956, CCF-1908905]
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Let Y be a d-dimensional random vector with unknown mean mu and covariance matrix Sigma. This paper is motivated by the problem of designing an estimator of Sigma that admits exponential deviation bounds in the operator norm under minimal assumptions on the underlying distribution, such as existence of only 4th moments of the coordinates of Y. To address this problem, we propose robust modifications of the operator-valued U-statistics, obtain non-asymptotic guarantees for their performance, and demonstrate the implications of these results to the covariance estimation problem under various structural assumptions.
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