Statistical Applications in Genetics and Molecular Biology
Editor-in-Chief: Sanguinetti, Guido
IMPACT FACTOR 2017: 0.812
5-year IMPACT FACTOR: 1.104
CiteScore 2017: 0.86
SCImago Journal Rank (SJR) 2017: 0.456
Source Normalized Impact per Paper (SNIP) 2017: 0.527
Mathematical Citation Quotient (MCQ) 2017: 0.04
A Shrinkage Approach to Large-Scale Covariance Matrix Estimation and Implications for Functional Genomics
Inferring large-scale covariance matrices from sparse genomic data is an ubiquitous problem in bioinformatics. Clearly, the widely used standard covariance and correlation estimators are ill-suited for this purpose. As statistically efficient and computationally fast alternative we propose a novel shrinkage covariance estimator that exploits the Ledoit-Wolf (2003) lemma for analytic calculation of the optimal shrinkage intensity.Subsequently, we apply this improved covariance estimator (which has guaranteed minimum mean squared error, is well-conditioned, and is always positive definite even for small sample sizes) to the problem of inferring large-scale gene association networks. We show that it performs very favorably compared to competing approaches both in simulations as well as in application to real expression data.
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