Asymptotically efficient estimation of smooth functionals of covariance operators (Q2659447)

Summary: Let \(X\) be a centered Gaussian random variable in a separable Hilbert space \(\mathbb H\) with covariance operator \(\Sigma\). We study the problem of estimation of a smooth functional of \(\Sigma\) based on a sample \(X_1, \ldots, X_n\) of \(n\) independent observations of \(X\). More specifically, we are interested in functionals of the form \(\langle f(\Sigma), B\rangle,\) where \(f : \mathbb R \mapsto \mathbb R\) is a smooth function and \(B\) is a nuclear operator in \(\mathbb H\). We prove concentration and normal approximation bounds for plug-in estimator \(\langle f(\hat \Sigma), B\rangle, \hat{\Sigma} := n^{-1} \sum_{j=1}^n X_j \otimes X_j\) being the sample covariance based on \(X_1, \ldots, X_n.\) These bounds show that \(\langle f(\hat \Sigma), B\rangle\) is an asymptotically normal estimator of its expectation \(\mathbb E_{\Sigma} \langle f(\hat \Sigma), B\rangle\) (rather than of parameter of interest \(\langle f(\Sigma), B\rangle)\) with a parametric convergence rate \(O(n^{-1/2})\) provided that the effective rank \(\mathbf r(\Sigma) := \operatorname{tr} (\Sigma) \|\Sigma\| (\operatorname{tr} (\Sigma)\) being the trace and \(\|\Sigma\|\) being the operator norm of \(\Sigma)\) satisfies the assumption \(\mathbf r(\Sigma) = o(n)\). At the same time, we show that the bias of this estimator is typically as large as \(\mathbf r (\Sigma)/n\) (which is larger than \(n^{-1/2}\) if \(\mathbf r (\Sigma) \geq n^{1/2})\). When \(\mathbb H\) is a finite-dimensional space of dimension \(d=o(n)\), we develop a method of bias reduction and construct an estimator \(\langle h (\hat \Sigma), B\rangle\) of \(\langle f(\Sigma), B\rangle\) that is asymptotically normal with convergence rate \(O(n^{-1/2})\). Moreover, we study asymptotic properties of the risk of this estimator and prove asymptotic minimax lower bounds for arbitrary estimators showing the asymptotic efficiency of \(\langle h(\hat \Sigma), B\rangle\) in a semi-parametric sense.