NOISY RECOVERY FROM RANDOM LINEAR OBSERVATIONS: SHARP MINIMAX RATES UNDER ELLIPTICAL CONSTRAINTS

• 成果类型: Article
• 署名作者: Pathak, Reese; Wainwright, Martin J.; Xiao, Lin
• 署名单位: University of California System; University of California Berkeley; Massachusetts Institute of Technology (MIT)
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/24-AOS2446
• 发表日期: 2024
• 页码: 2816-2850
• 关键词: CONVERGENCE-RATES; parameter space; regression; RISK; prediction; Kernels

摘要

Estimation problems with constrained parameter spaces arise in various settings. In many of these problems, the observations available to the statistician can be modelled as arising from the noisy realization of the image of a random linear operator; an important special case is random design regression. We derive sharp rates of estimation for arbitrary compact elliptical parameter sets and demonstrate how they depend on the distribution of the random linear operator. Our main result is a functional that characterizes the minimax rate of estimation in terms of the noise level, the law of the random operator, and elliptical norms that define the error metric and the parameter space. This nonasymptotic result is sharp up to an explicit universal constant, and it becomes asymptotically exact as the radius of the parameter space is allowed to grow. We demonstrate the generality of the result by applying it to both parametric and nonparametric regression problems.