Journal Article

Shrinkage estimation of the power spectrum covariance matrix

Adrian C. Pope and István Szapudi

in Monthly Notices of the Royal Astronomical Society

Published on behalf of The Royal Astronomical Society

Volume 389, issue 2, pages 766-774
Published in print September 2008 | ISSN: 0035-8711
Published online September 2008 | e-ISSN: 1365-2966 | DOI:
Shrinkage estimation of the power spectrum covariance matrix

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We seek to improve estimates of the power spectrum covariance matrix from a limited number of simulations by employing a novel statistical technique known as shrinkage estimation. The shrinkage technique optimally combines an empirical estimate of the covariance with a model (the target) to minimize the total mean squared error compared to the true underlying covariance. We test this technique on N-body simulations and evaluate its performance by estimating cosmological parameters. Using a simple diagonal target, we show that the shrinkage estimator significantly outperforms both the empirical covariance and the target individually when using a small number of simulations. We find that reducing noise in the covariance estimate is essential for properly estimating the values of cosmological parameters as well as their confidence intervals. We extend our method to the jackknife covariance estimator and again find significant improvement, though simulations give better results. Even for thousands of simulations we still find evidence that our method improves estimation of the covariance matrix. Because our method is simple, requires negligible additional numerical effort, and produces superior results, we always advocate shrinkage estimation for the covariance of the power spectrum and other large-scale structure measurements when purely theoretical modelling of the covariance is insufficient.

Keywords: methods: statistical; large-scale structure of the Universe

Journal Article.  6339 words.  Illustrated.

Subjects: Astronomy and Astrophysics

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