Electronic Journal of Statistics

On signal detection and confidence sets for low rank inference problems

Abstract

We consider the signal detection problem in the Gaussian design trace regression model with low rank alternative hypotheses. We derive the precise (Ingster-type) detection boundary for the Frobenius and the nuclear norm. We then apply these results to show that honest confidence sets for the unknown matrix parameter that adapt to all low rank sub-models in nuclear norm do not exist. This shows that recently obtained positive results in [5] for confidence sets in low rank recovery problems are essentially optimal.

Article information

Source
Electron. J. Statist., Volume 9, Number 2 (2015), 2675-2688.

Dates
First available in Project Euclid: 8 December 2015

https://projecteuclid.org/euclid.ejs/1449582159

Digital Object Identifier
doi:10.1214/15-EJS1087

Mathematical Reviews number (MathSciNet)
MR3432430

Zentralblatt MATH identifier
1329.62216

Subjects
Primary: 62G15: Tolerance and confidence regions
Secondary: 62G10: Hypothesis testing

Citation

Carpentier, Alexandra; Nickl, Richard. On signal detection and confidence sets for low rank inference problems. Electron. J. Statist. 9 (2015), no. 2, 2675--2688. doi:10.1214/15-EJS1087. https://projecteuclid.org/euclid.ejs/1449582159

References

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