The asymptotic efficiency of a generalized likelihood ratio test proposed by Cox is studied under the large deviations framework for error probabilities developed by Chernoff. In particular, two separate parametric families of hypotheses are considered [In Proc. 4th Berkeley Sympos. Math. Statist. and Prob. (1961) 105–123; J. Roy. Statist. Soc. Ser. B 24 (1962) 406–424]. The significance level is set such that the maximal type I and type II error probabilities for the generalized likelihood ratio test decay exponentially fast with the same rate. We derive the analytic form of such a rate that is also known as the Chernoff index [Ann. Math. Stat. 23 (1952) 493–507], a relative efficiency measure when there is no preference between the null and the alternative hypotheses. We further extend the analysis to approximate error probabilities when the two families are not completely separated. Discussions are provided concerning the implications of the present result on model selection.

We study the problem of aggregation of estimators when the estimators are not independent of the data used for aggregation and no sample splitting is allowed. If the estimators are deterministic vectors, it is well known that the minimax rate of aggregation is of order $\log(M)$, where $M$ is the number of estimators to aggregate. It is proved that for affine estimators, the minimax rate of aggregation is unchanged: it is possible to handle the linear dependence between the affine estimators and the data used for aggregation at no extra cost. The minimax rate is not impacted either by the variance of the affine estimators, or any other measure of their statistical complexity. The minimax rate is attained with a penalized procedure over the convex hull of the estimators, for a penalty that is inspired from the $Q$-aggregation procedure. The results follow from the interplay between the penalty, strong convexity and concentration.

Perturbation bounds for singular spaces, in particular Wedin’s $\mathop{\mathrm{sin}}\nolimits \Theta$ theorem, are a fundamental tool in many fields including high-dimensional statistics, machine learning and applied mathematics. In this paper, we establish separate perturbation bounds, measured in both spectral and Frobenius $\mathop{\mathrm{sin}}\nolimits \Theta$ distances, for the left and right singular subspaces. Lower bounds, which show that the individual perturbation bounds are rate-optimal, are also given.

The new perturbation bounds are applicable to a wide range of problems. In this paper, we consider in detail applications to low-rank matrix denoising and singular space estimation, high-dimensional clustering and canonical correlation analysis (CCA). In particular, separate matching upper and lower bounds are obtained for estimating the left and right singular spaces. To the best of our knowledge, this is the first result that gives different optimal rates for the left and right singular spaces under the same perturbation.

Gaussian graphical models have received considerable attention during the past four decades from the statistical and machine learning communities. In Bayesian treatments of this model, the $G$-Wishart distribution serves as the conjugate prior for inverse covariance matrices satisfying graphical constraints. While it is straightforward to posit the unnormalized densities, the normalizing constants of these distributions have been known only for graphs that are chordal, or decomposable. Up until now, it was unknown whether the normalizing constant for a general graph could be represented explicitly, and a considerable body of computational literature emerged that attempted to avoid this apparent intractability. We close this question by providing an explicit representation of the $G$-Wishart normalizing constant for general graphs.

This paper studies the optimal tuning of the regularization parameter in LASSO or the threshold parameters in approximate message passing (AMP). Considering a model in which the design matrix and noise are zero-mean i.i.d. Gaussian, we propose a data-driven approach for estimating the regularization parameter of LASSO and the threshold parameters in AMP. Our estimates are consistent, that is, they converge to their asymptotically optimal values in probability as $n$, the number of observations, and $p$, the ambient dimension of the sparse vector, grow to infinity, while $n/p$ converges to a fixed number $\delta$. As a byproduct of our analysis, we will shed light on the asymptotic properties of the solution paths of LASSO and AMP.

The stochastic block model (SBM) is a popular tool for community detection in networks, but fitting it by maximum likelihood (MLE) involves a computationally infeasible optimization problem. We propose a new semidefinite programming (SDP) solution to the problem of fitting the SBM, derived as a relaxation of the MLE. We put ours and previously proposed SDPs in a unified framework, as relaxations of the MLE over various subclasses of the SBM, which also reveals a connection to the well-known problem of sparse PCA. Our main relaxation, which we call SDP-1, is tighter than other recently proposed SDP relaxations, and thus previously established theoretical guarantees carry over. However, we show that SDP-1 exactly recovers true communities over a wider class of SBMs than those covered by current results. In particular, the assumption of strong assortativity of the SBM, implicit in consistency conditions for previously proposed SDPs, can be relaxed to weak assortativity for our approach, thus significantly broadening the class of SBMs covered by the consistency results. We also show that strong assortativity is indeed a necessary condition for exact recovery for previously proposed SDP approaches and not an artifact of the proofs. Our analysis of SDPs is based on primal-dual witness constructions, which provides some insight into the nature of the solutions of various SDPs. In particular, we show how to combine features from SDP-1 and already available SDPs to achieve the most flexibility in terms of both assortativity and block-size constraints, as our relaxation has the tendency to produce communities of similar sizes. This tendency makes it the ideal tool for fitting network histograms, a method gaining popularity in the graphon estimation literature, as we illustrate on an example of a social networks of dolphins. We also provide empirical evidence that SDPs outperform spectral methods for fitting SBMs with a large number of blocks.

The pathwise coordinate optimization is one of the most important computational frameworks for high dimensional convex and nonconvex sparse learning problems. It differs from the classical coordinate optimization algorithms in three salient features: warm start initialization, active set updating and strong rule for coordinate preselection. Such a complex algorithmic structure grants superior empirical performance, but also poses significant challenge to theoretical analysis. To tackle this long lasting problem, we develop a new theory showing that these three features play pivotal roles in guaranteeing the outstanding statistical and computational performance of the pathwise coordinate optimization framework. Particularly, we analyze the existing pathwise coordinate optimization algorithms and provide new theoretical insights into them. The obtained insights further motivate the development of several modifications to improve the pathwise coordinate optimization framework, which guarantees linear convergence to a unique sparse local optimum with optimal statistical properties in parameter estimation and support recovery. This is the first result on the computational and statistical guarantees of the pathwise coordinate optimization framework in high dimensions. Thorough numerical experiments are provided to support our theory.

Motivated by applications in biological science, we propose a novel test to assess the conditional mean dependence of a response variable on a large number of covariates. Our procedure is built on the martingale difference divergence recently proposed in Shao and Zhang [J. Amer. Statist. Assoc. 109 (2014) 1302–1318], and it is able to detect certain type of departure from the null hypothesis of conditional mean independence without making any specific model assumptions. Theoretically, we establish the asymptotic normality of the proposed test statistic under suitable assumption on the eigenvalues of a Hermitian operator, which is constructed based on the characteristic function of the covariates. These conditions can be simplified under banded dependence structure on the covariates or Gaussian design. To account for heterogeneity within the data, we further develop a testing procedure for conditional quantile independence at a given quantile level and provide an asymptotic justification. Empirically, our test of conditional mean independence delivers comparable results to the competitor, which was constructed under the linear model framework, when the underlying model is linear. It significantly outperforms the competitor when the conditional mean admits a nonlinear form.

We provide a unified analysis of the predictive risk of ridge regression and regularized discriminant analysis in a dense random effects model. We work in a high-dimensional asymptotic regime where $p,n\to\infty$ and $p/n\to\gamma>0$, and allow for arbitrary covariance among the features. For both methods, we provide an explicit and efficiently computable expression for the limiting predictive risk, which depends only on the spectrum of the feature-covariance matrix, the signal strength and the aspect ratio $\gamma$. Especially in the case of regularized discriminant analysis, we find that predictive accuracy has a nuanced dependence on the eigenvalue distribution of the covariance matrix, suggesting that analyses based on the operator norm of the covariance matrix may not be sharp. Our results also uncover an exact inverse relation between the limiting predictive risk and the limiting estimation risk in high-dimensional linear models. The analysis builds on recent advances in random matrix theory.

We treat the problem of testing independence between $m$ continuous variables when $m$ can be larger than the available sample size $n$. We consider three types of test statistics that are constructed as sums or sums of squares of pairwise rank correlations. In the asymptotic regime where both $m$ and $n$ tend to infinity, a martingale central limit theorem is applied to show that the null distributions of these statistics converge to Gaussian limits, which are valid with no specific distributional or moment assumptions on the data. Using the framework of U-statistics, our result covers a variety of rank correlations including Kendall’s tau and a dominating term of Spearman’s rank correlation coefficient (rho), but also degenerate U-statistics such as Hoeffding’s $D$, or the $\tau^{*}$ of Bergsma and Dassios [Bernoulli 20 (2014) 1006–1028]. As in the classical theory for U-statistics, the test statistics need to be scaled differently when the rank correlations used to construct them are degenerate U-statistics. The power of the considered tests is explored in rate-optimality theory under a Gaussian equicorrelation alternative as well as in numerical experiments for specific cases of more general alternatives.

Censored quantile regression (CQR) has emerged as a useful regression tool for survival analysis. Some commonly used CQR methods can be characterized by stochastic integral-based estimating equations in a sequential manner across quantile levels. In this paper, we analyze CQR in a high dimensional setting where the regression functions over a continuum of quantile levels are of interest. We propose a two-step penalization procedure, which accommodates stochastic integral based estimating equations and address the challenges due to the recursive nature of the procedure. We establish the uniform convergence rates for the proposed estimators, and investigate the properties on weak convergence and variable selection. We conduct numerical studies to confirm our theoretical findings and illustrate the practical utility of our proposals.

We examine the asymptotic properties of local M-estimators under three sets of high-level conditions. These conditions are sufficiently general to cover the minimum volume predictive region, the conditional maximum score estimator for a panel data discrete choice model and many other widely used estimators in statistics and econometrics. Specifically, they allow for discontinuous criterion functions of weakly dependent observations which may be localized by kernel smoothing and contain nuisance parameters with growing dimension. Furthermore, the localization can occur around parameter values rather than around a fixed point and the observations may take limited values which lead to set estimators. Our theory produces three different nonparametric cube root rates for local M-estimators and enables valid inference building on novel maximal inequalities for weakly dependent observations. The standard cube root asymptotics is included as a special case. The results are illustrated by various examples such as the Hough transform estimator with diminishing bandwidth, the maximum score-type set estimator and many others.

We introduce the concept of mixture inner product spaces associated with a given separable Hilbert space, which feature an infinite-dimensional mixture of finite-dimensional vector spaces and are dense in the underlying Hilbert space. Any Hilbert valued random element can be arbitrarily closely approximated by mixture inner product space valued random elements. While this concept can be applied to data in any infinite-dimensional Hilbert space, the case of functional data that are random elements in the $L^{2}$ space of square integrable functions is of special interest. For functional data, mixture inner product spaces provide a new perspective, where each realization of the underlying stochastic process falls into one of the component spaces and is represented by a finite number of basis functions, the number of which corresponds to the dimension of the component space. In the mixture representation of functional data, the number of included mixture components used to represent a given random element in $L^{2}$ is specifically adapted to each random trajectory and may be arbitrarily large. Key benefits of this novel approach are, first, that it provides a new perspective on the construction of a probability density in function space under mild regularity conditions, and second, that individual trajectories possess a trajectory-specific dimension that corresponds to a latent random variable, making it possible to use a larger number of components for less smooth and a smaller number for smoother trajectories. This enables flexible and parsimonious modeling of heterogeneous trajectory shapes. We establish estimation consistency of the functional mixture density and introduce an algorithm for fitting the functional mixture model based on a modified expectation-maximization algorithm. Simulations confirm that in comparison to traditional functional principal component analysis the proposed method achieves similar or better data recovery while using fewer components on average. Its practical merits are also demonstrated in an analysis of egg-laying trajectories for medflies.

We introduce a new framework for estimation of sparse normal means, bridging the gap between popular frequentist strategies (LASSO) and popular Bayesian strategies (spike-and-slab). The main thrust of this paper is to introduce the family of Spike-and-Slab LASSO (SS-LASSO) priors, which form a continuum between the Laplace prior and the point-mass spike-and-slab prior. We establish several appealing frequentist properties of SS-LASSO priors, contrasting them with these two limiting cases. First, we adopt the penalized likelihood perspective on Bayesian modal estimation and introduce the framework of Bayesian penalty mixing with spike-and-slab priors. We show that the SS-LASSO global posterior mode is (near) minimax rate-optimal under squared error loss, similarly as the LASSO. Going further, we introduce an adaptive two-step estimator which can achieve provably sharper performance than the LASSO. Second, we show that the whole posterior keeps pace with the global mode and concentrates at the (near) minimax rate, a property that is known \textsl{not to hold} for the single Laplace prior. The minimax-rate optimality is obtained with a suitable class of independent product priors (for known levels of sparsity) as well as with dependent mixing priors (adapting to the unknown levels of sparsity). Up to now, the rate-optimal posterior concentration has been established only for spike-and-slab priors with a point mass at zero. Thus, the SS-LASSO priors, despite being continuous, possess similar optimality properties as the “theoretically ideal” point-mass mixtures. These results provide valuable theoretical justification for our proposed class of priors, underpinning their intuitive appeal and practical potential.

We propose a new method, based on sample splitting, for constructing bootstrap confidence bounds for a parameter appearing in the regular smooth function model. It has been demonstrated in the literature, for example, by Hall [Ann. Statist. 16 (1988) 927–985; The Bootstrap and Edgeworth Expansion (1992) Springer], that the well-known percentile-$t$ method for constructing bootstrap confidence bounds typically incurs a coverage error of order $O(n^{-1})$, with $n$ being the sample size. Our version of the percentile-$t$ bound reduces this coverage error to order $O(n^{-3/2})$ and in some cases to $O(n^{-2})$. Furthermore, whereas the standard percentile bounds typically incur coverage error of $O(n^{-1/2})$, the new bounds have reduced error of $O(n^{-1})$. In the case where the parameter of interest is the population mean, we derive for each confidence bound the exact coefficient of the leading term in an asymptotic expansion of the coverage error, although similar results may be obtained for other parameters such as the variance, the correlation coefficient, and the ratio of two means. We show that equal-tailed confidence intervals with coverage error at most $O(n^{-2})$ may be obtained from the newly proposed bounds, as opposed to the typical error $O(n^{-1})$ of the standard intervals. It is also shown that the good properties of the new percentile-$t$ method carry over to regression problems. Results of independent interest are derived, such as a generalisation of a delta method by Cramér [Mathematical Methods of Statistics (1946) Princeton Univ. Press] and Hurt [Apl. Mat. 21 (1976) 444–456], and an expression for a polynomial appearing in an Edgeworth expansion of the distribution of a Studentised statistic for the slope parameter in a regression model. A small simulation study illustrates the behavior of the confidence bounds for small to moderate sample sizes.