Minimax risks for sparse regressions: ultra-high dimensional phenomenons

DOI10.1214/12-EJS666MaRDI QIDQ1950804zbMATH OpenOpenAlexFDO

Authors Nicolas Verzelen

Publication date 28 May 2013

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1008.0526, https://projecteuclid.org/euclid.ejs/1327505822

zbMATH Keywords

dimension reductionhigh-dimensional regressionadaptive estimationminimax riskhigh-dimensional geometry

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Minimax procedures in statistical decision theory (62C20)

Abstract: Consider the standard Gaussian linear regression model $Y=Xheta+epsilon$, where $Yin{R}^n$ is a response vector and $Xin{R}^{n\ast p}$ is a design matrix. Numerous work have been devoted to building efficient estimators of $heta$ when $p$ is much larger than $n$. In such a situation, a classical approach amounts to assume that $het{a}_0$ is approximately sparse. This paper studies the minimax risks of estimation and testing over classes of $k$-sparse vectors $heta$. These bounds shed light on the limitations due to high-dimensionality. The results encompass the problem of prediction (estimation of $Xheta$), the inverse problem (estimation of $het{a}_0$) and linear testing (testing $Xheta=0$). Interestingly, an elbow effect occurs when the number of variables $klog(p/k)$ becomes large compared to $n$. Indeed, the minimax risks and hypothesis separation distances blow up in this ultra-high dimensional setting. We also prove that even dimension reduction techniques cannot provide satisfying results in an ultra-high dimensional setting. Moreover, we compute the minimax risks when the variance of the noise is unknown. The knowledge of this variance is shown to play a significant role in the optimal rates of estimation and testing. All these minimax bounds provide a characterization of statistical problems that are so difficult so that no procedure can provide satisfying results.

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