Taras Bodnar: Reviving pseudo-inverses: Asymptotic properties of large-dimensional Moore-Penrose and Ridge-type inverses with applications

Abstract

In this paper, we derive large-dimensional asymptotic properties of the Moore-Penrose inverse and the ridge-type inverse of the sample covariance matrix. In particular, the analytical expressions of the weighted sample trace moments are deduced for both generalized inverse matrices and are present by using the partial exponential Bell polynomials which can easily be computed in practice. The existent results are extended in several directions: (i) First, the population covariance matrix is not assumed to be a multiplier of the identity matrix; (ii) Second, the assumption of normality is not used in the derivation; (iii) Third, the asymptotic results are derived under the large-dimensional asymptotic regime. Our findings are used in constructing improved shrinkage estimators of the precision matrix, which asymptotically minimize the quadratic loss with probability one. The finite sample properties of the derived theoretical results are investigated via an extensive simulation study.