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

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

2005-06-07

arxiv.org/abs/physics/0506055v1

Physics

Atmospheric and Oceanic Physics

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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