Minimax bounds for estimating multivariate Gaussian location mixtures

DOI10.1214/21-EJS1975MaRDI QIDQ6355000arXivFDO

Authors Arlene K. H. Kim, Adityanand Guntuboyina

Publication date 1 December 2020

Mathematics Subject Classification ID

Statistics (62-XX)

Abstract: We prove minimax bounds for estimating Gaussian location mixtures on $mathbb{R}^d$ under the squared $L^2$ and the squared Hellinger loss functions. Under the squared $L^2$ loss, we prove that the minimax rate is upper and lower bounded by a constant multiple of $n^{-1}(logn{)}^{d/2}$. Under the squared Hellinger loss, we consider two subclasses based on the behavior of the tails of the mixing measure. When the mixing measure has a sub-Gaussian tail, the minimax rate under the squared Hellinger loss is bounded from below by $(logn{)}^d/n$. On the other hand, when the mixing measure is only assumed to have a bounded $p^{extth}$ moment for a fixed $p>0$, the minimax rate under the squared Hellinger loss is bounded from below by $n^{-p/(p+d)}(logn{)}^{-3d/2}$. These rates are minimax optimal up to logarithmic factors.

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