Preprint on Condition Number Plot
Available from the arXiv repository
Just submitted the preprint The Spectral
Condition Number Plot for
Regularization Parameter Determination to a
computational journal for review.
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 preprint is available from the
arXiv
repository.