Papers › RSVP-graphs: Fast High-dimensional Covariance Matrix Estimation under Latent Confounding
RSVP-graphs: Fast High-dimensional Covariance Matrix Estimation under Latent Confounding
Rajen D. Shah, Benjamin Frot, Gian-Andrea Thanei, Nicolai Meinshausen
The archive published only this paper's code-link row. Authors, date and abstract are from arXiv's metadata (CC0), read from the Kaggle arXiv metadata snapshot of 2026-09-12 where its title matched the archive's; the title is the archive's.
In this work we consider the problem of estimating a high-dimensional p ×p covariance matrix Σ, given n observations of confounded data with covariance Σ+ ΓΓᵀ, where Γ is an unknown p ×q matrix of latent factor loadings. We propose a simple and scalable estimator based on the projection on to the right singular vectors of the observed data matrix, which we call RSVP. Our theoretical analysis of this method reveals that in contrast to PCA-based approaches, RSVP is able to cope well with settings where the smallest eigenvalue of Γᵀ Γ is close to the largest eigenvalue of Σ, as well as settings where the eigenvalues of Γᵀ Γ are diverging fast. It is also able to handle data that may have heavy tails and only requires that the data has an elliptical distribution. RSVP does not require knowledge or estimation of the number of latent factors q, but only recovers Σ up to an unknown positive scale factor. We argue this suffices in many applications, for example if an estimate of the correlation matrix is desired. We also show that by using subsampling, we can further improve the performance of the method. We demonstrate the favourable performance of RSVP through simulation experiments and an analysis of gene expression datasets collated by the GTEX consortium.
Code
Repository list and official/mentioned flags are the archive's, frozen 2025-07-28. Reachability, where shown, is from one Syntology probe window (2026-09-16 to 2026-09-18); repositories not probed show nothing. GitHub stars are not tracked.
Code Syntology ran Syntology
Not run by Syntology. Nothing on this page verifies that the listed code works.
Results from the paper archive 2025-07-28
No leaderboard rows for this paper in the archive.
Report a problem or propose a change · a person checks every report against the paper or source before anything changes; decisions are listed on /corrections