Joachimi, B;
(2017)
Non-linear shrinkage estimation of large-scale structure covariance.
Monthly Notices of the Royal Astronomical Society: Letters
, 466
(1)
L83-L87.
10.1093/mnrasl/slw240.
Preview |
Text
Joachimi_slw240.pdf Download (1MB) | Preview |
Abstract
In many astrophysical settings, covariance matrices of large data sets have to be determined empirically from a finite number of mock realizations. The resulting noise degrades inference and precludes it completely if there are fewer realizations than data points. This work applies a recently proposed non-linear shrinkage estimator of covariance to a realistic example from large-scale structure cosmology. After optimizing its performance for the usage in likelihood expressions, the shrinkage estimator yields subdominant bias and variance comparable to that of the standard estimator with a factor of ∼50 less realizations. This is achieved without any prior information on the properties of the data or the structure of the covariance matrix, at a negligible computational cost.
Type: | Article |
---|---|
Title: | Non-linear shrinkage estimation of large-scale structure covariance |
Open access status: | An open access version is available from UCL Discovery |
DOI: | 10.1093/mnrasl/slw240 |
Publisher version: | http://doi.org/10.1093/mnrasl/slw240 |
Language: | English |
Additional information: | This article has been accepted for publication in Monthly Notices of the Royal Astronomical Society: Letters ©: 2016 The Author. Published by Oxford University Press on behalf of the Royal Astronomical Society. All rights reserved. |
Keywords: | Methods: data analysis, methods: numerical, methods: statistical, large-scale structure of Universe |
UCL classification: | UCL UCL > Provost and Vice Provost Offices > UCL BEAMS UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences > Dept of Physics and Astronomy |
URI: | https://discovery-pp.ucl.ac.uk/id/eprint/1530928 |
Archive Staff Only
![]() |
View Item |