Near-Optimal Estimation of Linear Functionals with Log-Concave Observation Errors

DOI10.1093/IMAIAI/IAAD038MaRDI QIDQ6423674zbMATH OpenOpenAlexFDO

Authors Simon Foucart, Grigoris Paouris

Publication date 17 January 2023

Full work available at URL https://doi.org/10.1093/imaiai/iaad038

Mathematics Subject Classification ID

Statistics (62-XX)

Abstract: This note addresses the question of optimally estimating a linear functional of an object acquired through linear observations corrupted by random noise, where optimality pertains to a worst-case setting tied to a symmetric, convex, and closed model set containing the object. It complements the article "Statistical Estimation and Optimal Recovery" published in the Annals of Statistics in 1994. There, Donoho showed (among other things) that, for Gaussian noise, linear maps provide near-optimal estimation schemes relatively to a performance measure relevant in Statistical Estimation. Here, we advocate for a different performance measure arguably more relevant in Optimal Recovery. We show that, relatively to this new measure, linear maps still provide near-optimal estimation schemes even if the noise is merely log-concave. Our arguments, which make a connection to the deterministic noise situation and bypass properties specific to the Gaussian case, offer an alternative to parts of Donoho's proof.

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• Optimal prediction of vector-valued functions from point samples
• Applied harmonic analysis and data science. Abstracts from the workshop held April 21--26, 2024
• Homogeneous algorithms and solvable problems on cones

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