Rate-optimal estimation of p-dimensional linear functionals in a sparse Gaussian model
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We consider two problems of estimation in high-dimensional Gaussian models. The first problem is that of estimating a linear functional of the means of n independent p-dimensional Gaussian vectors, under the assumption that most of these means are equal to zero. We show that, up to a logarithmic factor, the minimax rate of estimation in squared Euclidean norm is between (s^2∧ n) +sp and (s^2∧ np)+sp. The estimator that attains the upper bound being computationally demanding, we investigate suitable versions of group thresholding estimators. An interesting new phenomenon revealed by this investigation is that the group thresholding leads to a substantial improvement in the rate as compared to the element-wise thresholding. Thus, the rate of the group thresholding is s^2√(p)+sp, while the element-wise thresholding has an error of order s^2p+sp. To the best of our knowledge, this is the first known setting in which leveraging the group structure leads to a polynomial improvement in the rate. The second problem studied in this work is the estimation of the common p-dimensional mean of the inliers among n independent Gaussian vectors. We show that there is a strong analogy between this problem and the first one. Exploiting it, we propose new strategies of robust estimation that are computationally tractable and have better rates of convergence than the other computationally tractable robust (with respect to the presence of the outliers in the data) estimators studied in the literature. However, this tractability comes with a loss of the minimax-rate-optimality in some regimes.
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