Covariance Operator Estimation via Adaptive Thresholding

Abstract: This paper studies sparse covariance operator estimation for nonstationary processes with sharply varying marginal variance and small correlation lengthscale. We introduce a covariance operator estimator that adaptively thresholds the sample covariance function using an estimate of the variance component. Building on recent results from empirical process theory, we derive an operator norm bound on the estimation error in terms of the sparsity level of the covariance and the expected supremum of a normalized process. Our theory and numerical simulations demonstrate the advantage of adaptive threshold estimators over universal threshold and sample covariance estimators in nonstationary settings.