Bernoulli

  • Bernoulli
  • Volume 19, Number 5B (2013), 2652-2688.

Detection of a sparse submatrix of a high-dimensional noisy matrix

Cristina Butucea and Yuri I. Ingster

Full-text: Open access

Abstract

We observe a $N\times M$ matrix $Y_{ij}=s_{ij}+\xi_{ij}$ with $\xi_{ij}\sim{ \mathcal {N}}(0,1)$ i.i.d. in $i,j$, and $s_{ij}\in\mathbb{R}$. We test the null hypothesis $s_{ij}=0$ for all $i,j$ against the alternative that there exists some submatrix of size $n\times m$ with significant elements in the sense that $s_{ij}\ge a>0$. We propose a test procedure and compute the asymptotical detection boundary $a$ so that the maximal testing risk tends to $0$ as $M\to\infty$, $N\to\infty$, $p=n/N\to0$, $q=m/M\to0$. We prove that this boundary is asymptotically sharp minimax under some additional constraints. Relations with other testing problems are discussed. We propose a testing procedure which adapts to unknown $(n,m)$ within some given set and compute the adaptive sharp rates. The implementation of our test procedure on synthetic data shows excellent behavior for sparse, not necessarily squared matrices. We extend our sharp minimax results in different directions: first, to Gaussian matrices with unknown variance, next, to matrices of random variables having a distribution from an exponential family (non-Gaussian) and, finally, to a two-sided alternative for matrices with Gaussian elements.

Article information

Source
Bernoulli, Volume 19, Number 5B (2013), 2652-2688.

Dates
First available in Project Euclid: 3 December 2013

Permanent link to this document
https://projecteuclid.org/euclid.bj/1386078616

Digital Object Identifier
doi:10.3150/12-BEJ470

Mathematical Reviews number (MathSciNet)
MR3160567

Zentralblatt MATH identifier
06254575

Keywords
detection of sparse signal minimax adaptive testing minimax testing random matrices sharp detection bounds

Citation

Butucea, Cristina; Ingster, Yuri I. Detection of a sparse submatrix of a high-dimensional noisy matrix. Bernoulli 19 (2013), no. 5B, 2652--2688. doi:10.3150/12-BEJ470. https://projecteuclid.org/euclid.bj/1386078616


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