Minimax rates in sparse, high-dimensional change point detection (Q2039806)

The aim of this paper to study the detection of a sparse change in a high-dimensional mean vector as a minimax testing problem. It means that the authors consider for some \(n\geq 2\) a \(p\times n\) matrix \(X\) that can be written as \[ X = \theta +E, \] where \(\theta\in \mathbb{R}^{p\times n}\) is deterministic and the entries of \(E\) are independent \(N(0, 1)\) random variables. Their first main contribution is to derive the exact minimax testing rate across all parameter regimes for \(n\) independent, \(p\)-variate Gaussian observations. The second contribution is that, in a dense asymptotic regime, the authors identify the sharp leading constant.