SHrinkage Covariance Estimation Incorporating Prior Biological Knowledge with Applications to High-Dimensional Data

In “-omic data” analysis, information on the structure of covariates are broadly available either from public databases describing gene regulation processes and functional groups such as the Kyoto encyclopedia of genes and genomes (KEGG), or from statistical analyses – for example in form of partial correlation estimators. The analysis of transcriptomic data might benefit from the incorporation of such prior knowledge. In this paper we focus on the integration of structured information into statistical analyses in which at least one major step involves the estimation of a (high-dimensional) covariance matrix. More precisely, we revisit the recently proposed “SHrinkage Incorporating Prior” (SHIP) covariance estimation method which takes into account the group structure of the covariates, and suggest to integrate the SHIP covariance estimator into various multivariate methods such as linear discriminant analysis (LDA), global analysis of covariance (GlobalANCOVA), and regularized generalized canonical correlation analysis (RGCCA). We demonstrate the use of the resulting new methods ∗Corresponding author. Email: [email protected].