High‐Dimensional Covariance Estimation From a Small Number of Samples

Abstract We synthesize knowledge from numerical weather prediction, inverse theory, and statistics to address the problem of estimating a high‐dimensional covariance matrix from a small number of samples. This problem is fundamental in statistics, machine learning/artificial intelligence, and in modern Earth science. We create several new adaptive methods for high‐dimensional covariance estimation, but one method, which we call Noise‐Informed Covariance Estimation (NICE), stands out because it has three important properties: (a) NICE is conceptually simple and computationally efficient; (b) NICE guarantees symmetric positive semi‐definite covariance estimates; and (c) NICE is largely tuning‐free. We illustrate the use of NICE on a large set of Earth science–inspired numerical examples, including cycling data assimilation, inversion of geophysical field data, and training of feed‐forward neural networks with time‐averaged data from a chaotic dynamical system. Our theory, heuristics and numerical tests suggest that NICE may indeed be a viable option for high‐dimensional covariance estimation in many Earth science problems.