loading page

High-Dimensional Covariance Estimation From a Small Number of Samples
  • +3
  • Matthias Morzfeld,
  • David N. Vishny,
  • Kyle Gwirtz,
  • Eviatar Bach,
  • Oliver Dunbar,
  • Daniel Hodyss
Matthias Morzfeld
University of California, San Diego

Corresponding Author:[email protected]

Author Profile
David N. Vishny
Scripps Institution of Oceanography, University of California San Diego
Author Profile
Kyle Gwirtz
Goddard Space Flight Center
Author Profile
Eviatar Bach
California Insitute of Technology
Author Profile
Oliver Dunbar
California Institute of Technology
Author Profile
Daniel Hodyss
Marine Meteorology Division
Author Profile

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.
05 May 2024Submitted to ESS Open Archive
06 May 2024Published in ESS Open Archive