Should we augment large covariance matrix estimation with auxiliary network information?
是否应利用辅助网络信息改进大型协方差矩阵估计？
This paper uses the auxiliary network information, observed in addition to the original sample, to infer latent network structures in the population correlation matrix and thus improve high-dimensional covariance matrix estimation. Building on estimated Location Indicator and Relative Importance matrices, we propose two Network-Guided estimators. Network-Guided Thresholding uses auxiliary network data to regularize the large and small elements in the sample covariance…