2024/07/06 by Renjie Chen, Chen, Renjie, Huifu Xu +3
Computer Science · Decision Sciences · Economics, Econometrics and Finance · #Applications (stat.AP) #Bayesian Methods and Mixture Models #FOS: Computer and information sciences #FOS: Mathematics #Financial Risk and Volatility Modeling #Optimization and Control (math.OC) #Probability and Risk Models #Statistics Theory (math.ST)
paper · pdf · doi:10.48550/arxiv.2407.05110
openalex publication_date 2024/07/06 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
Finding an approximation of the inverse of the covariance matrix, also known as precision matrix, of a random vector with empirical data is widely discussed in finance and engineering. In data-driven problems, empirical data may be ``contaminated''. This raises the question as to whether the approximate precision matrix is reliable from a statistical point of view. In this paper, we concentrate on a much-noticed sparse estimator of the precision matrix and investigate the issue from the perspective of distributional stability. Specifically, we derive an explicit local Lipschitz bound for the distance between the distributions of the sparse estimator under two different distributions (regarded as the true data distribution and the distribution of ``contaminated'' data). The distance is measured by the Kantorovich metric on the set of all probability measures on a matrix space. We also present analogous results for the standard estimators of the covariance matrix and its eigenvalues. Furthermore, we discuss several applications and conduct some numerical experiments.