Abstract
We synthesize knowledge from numerical weather prediction, inverse
theory and statistics to address the problem of estimating a
high-dimensional covariance matrix from a small number of samples. This
problem is fundamental in statistics, machine learning/artificial
intelligence, and in modern Earth science. We create several new
adaptive methods for high-dimensional covariance estimation, but one
method, which we call NICE (Noise-Informed Covariance Estimation),
stands out because it has three important properties: (i) NICE is
conceptually simple and computationally efficient; (ii) NICE guarantees
symmetric positive semi-definite covariance estimates; and (iii) NICE is
largely tuning-free. We illustrate the use of NICE on a large set of
Earth-science-inspired numerical examples, including cycling data
assimilation, geophysical inversion of field data, and training of
feed-forward neural networks with time-averaged data from a chaotic
dynamical system. Our theory, heuristics and numerical tests suggest
that NICE may indeed be a viable option for high-dimensional covariance
estimation in many Earth science problems.