RSVP-graphs: Fast High-dimensional Covariance Matrix Estimation under Latent Confounding

Rajen D. Shah, Benjamin Frot, Gian-Andrea Thanei +1

In this work we consider the problem of estimating a high-dimensional $p\times p$ covariance matrix $\Sigma$, given $n$ observations of confounded data with covariance $\Sigma +\Gamma {\Gamma }^T$, where…