Manuscript Condition Number Plot
Accepted in Computational Statistics
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.