Improving on the empirical covariance matrix using truncated PCA with white noise residuals

Physics – Atmospheric and Oceanic Physics

Scientific paper

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Scientific paper

The empirical covariance matrix is not necessarily the best estimator for the
population covariance matrix: we describe a simple method which gives better
estimates in two examples. The method models the covariance matrix using
truncated PCA with white noise residuals. Jack-knife cross-validation is used
to find the truncation that maximises the out-of-sample likelihood score.

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