Adaptive estimation in two-way sparse reduced-rank regression

DOI10.5705/SS.202017.0073MaRDI QIDQ4986348zbMATH OpenOpenAlexFDO

Authors Zhuang Ma, Zongming Ma, Tingni Sun

Publication date 27 April 2021

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1403.1922

zbMATH Keywords

variable selectiondimension reductionhigh dimensionalityadaptive estimationminimax ratesgroup sparsityneuroimaginglow rank matrices

Mathematics Subject Classification ID

Applications of statistics to biology and medical sciences; meta analysis (62P10) Minimax procedures in statistical decision theory (62C20) Image analysis in multivariate analysis (62H35)

Abstract: This paper studies the problem of estimating a large coefficient matrix in a multiple response linear regression model when the coefficient matrix could be both of low rank and sparse in the sense that most nonzero entries concentrate on a few rows and columns. We are especially interested in the high dimensional settings where the number of predictors and/or response variables can be much larger than the number of observations. We propose a new estimation scheme, which achieves competitive numerical performance and at the same time allows fast computation. Moreover, we show that (a slight variant of) the proposed estimator achieves near optimal non-asymptotic minimax rates of estimation under a collection of squared Schatten norm losses simultaneously by providing both the error bounds for the estimator and minimax lower bounds. The effectiveness of the proposed algorithm is also demonstrated on an extit{in vivo} calcium imaging dataset.

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Cited in

(9)

• Scalable interpretable multi-response regression via SEED
• Adaptive estimation of the rank of the coefficient matrix in high-dimensional multivariate response regression models
• Sparse and Low-Rank Matrix Quantile Estimation With Application to Quadratic Regression
• Adaptive Minimax Estimation over Sparse $\ell_q$-Hulls
• Adaptive robust estimation in sparse vector model
• Greedy low-rank algorithm for spatial connectome regression
• Improved Estimation of High-dimensional Additive Models Using Subspace Learning
• Large-scale multivariate sparse regression with applications to UK Biobank
• Recovery of simultaneous low rank and two-way sparse coefficient matrices, a nonconvex approach

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