交叉拟合裁剪协方差估计的可计算伯恩斯坦证书 / Computable Bernstein Certificates for Cross-Fitted Clipped Covariance Estimation
1️⃣ 一句话总结
这篇论文提出了一种新的协方差估计方法,它通过一种名为‘交叉拟合裁剪’的技术和可计算的误差证书,能够自动、稳定地从包含少量异常值的‘重尾’数据中准确估计协方差,即使数据分布不那么理想也能保证效果。
We study operator-norm covariance estimation from heavy-tailed samples that may include a small fraction of arbitrary outliers. A simple and widely used safeguard is \emph{Euclidean norm clipping}, but its accuracy depends critically on an unknown clipping level. We propose a cross-fitted clipped covariance estimator equipped with \emph{fully computable} Bernstein-type deviation certificates, enabling principled data-driven tuning via a selector (\emph{MinUpper}) that balances certified stochastic error and a robust hold-out proxy for clipping bias. The resulting procedure adapts to intrinsic complexity measures such as effective rank under mild tail regularity and retains meaningful guarantees under only finite fourth moments. Experiments on contaminated spiked-covariance benchmarks illustrate stable performance and competitive accuracy across regimes.
交叉拟合裁剪协方差估计的可计算伯恩斯坦证书 / Computable Bernstein Certificates for Cross-Fitted Clipped Covariance Estimation
这篇论文提出了一种新的协方差估计方法,它通过一种名为‘交叉拟合裁剪’的技术和可计算的误差证书,能够自动、稳定地从包含少量异常值的‘重尾’数据中准确估计协方差,即使数据分布不那么理想也能保证效果。
源自 arXiv: 2602.14020