A Tapering Method in the Construction of Covariance Regularization
Shi Qing Wang, Fei Xia Song · Applied Mechanics and Materials · 2012
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.