Manuscript Condition Number Plot

Accepted in Computational Statistics

  • September 12, 2019

The manuscript The Spectral Condition Number Plot for Regularization Parameter Evaluation has been accepted for publication.

Abstract: Many modern statistical applications ask for the estimation of a covariance (or precision) matrix in settings where the number of variables is larger than the number of observations. There exists a broad class of ridge-type estimators that employs regularization to cope with the subsequent singularity of the sample covariance matrix. These estimators depend on a penalty parameter and choosing its value can be hard, in terms of being computationally unfeasible or tenable only for a restricted set of ridge-type estimators. Here we introduce a simple graphical tool, the spectral condition number plot, for informed heuristic penalty parameter selection. The proposed tool is computationally friendly and can be employed for the full class of ridge-type covariance (precision) estimators.

The accepted manuscript is available from the site of Computational Statistics.
The preprint is available from the arXiv repository.