Corpus ID: 84841712

RSVP-graphs: Fast High-dimensional Covariance Matrix Estimation under Latent Confounding

  title={RSVP-graphs: Fast High-dimensional Covariance Matrix Estimation under Latent Confounding},
  author={Rajen Dinesh Shah and B. Frot and Gian-Andrea Thanei and N. Meinshausen},
  journal={arXiv: Methodology},
  • Rajen Dinesh Shah, B. Frot, +1 author N. Meinshausen
  • Published 2018
  • Mathematics
  • arXiv: Methodology
  • In this work we consider the problem of estimating a high-dimensional $p \times p$ covariance matrix $\Sigma$, given $n$ observations of confounded data with covariance $\Sigma + \Gamma \Gamma^T$, where $\Gamma$ is an unknown $p \times q$ matrix of latent factor loadings. We propose a simple and scalable estimator based on the projection on to the right singular vectors of the observed data matrix, which we call RSVP. Our theoretical analysis of this method reveals that in contrast to PCA-based… CONTINUE READING
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