English

Robust Matrix Estimation with Side Information

Methodology 2026-03-27 v1 Econometrics Machine Learning

Abstract

We introduce a flexible framework for high-dimensional matrix estimation to incorporate side information for both rows and columns. Existing approaches, such as inductive matrix completion, often impose restrictive structure-for example, an exact low-rank covariate interaction term, linear covariate effects, and limited ability to exploit components explained only by one side (row or column) or by neither-and frequently omit an explicit noise component. To address these limitations, we propose to decompose the underlying matrix as the sum of four complementary components: (possibly nonlinear) interaction between row and column characteristics; row characteristic-driven component, column characteristic-driven component, and residual low-rank structure unexplained by observed characteristics. By combining sieve-based projection with nuclear-norm penalization, each component can be estimated separately and these estimated components can then be aggregated to yield a final estimate. We derive convergence rates that highlight robustness across a range of model configurations depending on the informativeness of the side information. We further extend the method to partially observed matrices under both missing-at-random and missing-not-at-random mechanisms, including block-missing patterns motivated by causal panel data. Simulations and a real-data application to tobacco sales show that leveraging side information improves imputation accuracy and can enhance treatment-effect estimation relative to standard low-rank and spectral-based alternatives.

Keywords

Cite

@article{arxiv.2603.24833,
  title  = {Robust Matrix Estimation with Side Information},
  author = {Anish Agarwal and Jungjun Choi and Ming Yuan},
  journal= {arXiv preprint arXiv:2603.24833},
  year   = {2026}
}
R2 v1 2026-07-01T11:38:08.068Z