Covariance Estimation in High Dimensions via Kronecker Product Expansions

Theodoros Tsiligkaridis, Alfred O. Hero III

Abstract

This paper presents a new method for estimating high dimensional covariance matrices. Our method, permuted rank-penalized least-squares (PRLS), is based on a Kronecker product series expansion of the true covariance matrix. Assuming an i.i.d. Gaussian random sample, we establish high dimensional rates of convergence to the true covariance as both the number of samples and the number of variables go to infinity. For covariance matrices of low separation rank, our results establish that PRLS has significantly faster convergence than the standard sample covariance matrix (SCM) estimator. In addition, this framework captures a fundamental tradeoff between estimation error and approximation error, thus providing a scalable covariance estimation framework in terms of separation rank, an analog to low rank approximation of covariance matrices. The MSE convergence rates generalize the high dimensional rates recently obtained for the ML Flip-flop algorithm for Kronecker product covariance estimation. We show that a class of block Toeplitz covariance matrices has low separation rank and give bounds on the minimal separation rank r that ensures a given level of bias. Simulations are presented to validate the theoretical bounds. As a real world application, we illustrate the utility of the proposed Kronecker covariance estimator in spatio-temporal linear least squares prediction of multivariate wind speed measurements.

MATLAB Code

Download