Fixed support positive-definite modification of covariance matrix estimators via linear shrinkage

Abstract: In this work, we study the positive definiteness (PDness) problem in covariance matrix estimation. For high dimensional data, many regularized estimators are proposed under structural assumptions on the true covariance matrix including sparsity. They are shown to be asymptotically consistent and rate-optimal in estimating the true covariance matrix and its structure. However, many of them do not take into account the PDness of the estimator and produce a non-PD estimate. To achieve the PDness, researchers consider additional regularizations (or constraints) on eigenvalues, which make both the asymptotic analysis and computation much harder. In this paper, we propose a simple modification of the regularized covariance matrix estimator to make it PD while preserving the support. We revisit the idea of linear shrinkage and propose to take a convex combination between the first-stage estimator (the regularized covariance matrix without PDness) and a given form of diagonal matrix. The proposed modification, which we denote as FSPD (Fixed Support and Positive Definiteness) estimator, is shown to preserve the asymptotic properties of the first-stage estimator, if the shrinkage parameters are carefully selected. It has a closed form expression and its computation is optimization-free, unlike existing PD sparse estimators. In addition, the FSPD is generic in the sense that it can be applied to any non-PD matrix including the precision matrix. The FSPD estimator is numerically compared with other sparse PD estimators to understand its finite sample properties as well as its computational gain. It is also applied to two multivariate procedures relying on the covariance matrix estimator -- the linear minimax classification problem and the Markowitz portfolio optimization problem -- and is shown to substantially improve the performance of both procedures.