Sparsity meets correlation in Gaussian sequence model
Abstract
We study estimation of an -sparse signal in the -dimensional Gaussian sequence model with equicorrelated observations and derive the minimax rate. A new phenomenon emerges from correlation, namely the rate scales with respect to and exhibits a phase transition at . Correlation is shown to be a blessing provided it is sufficiently strong, and the critical correlation level exhibits a delicate dependence on the sparsity level. Due to correlation, the minimax rate is driven by two subproblems: estimation of a linear functional (the average of the signal) and estimation of the signal's -dimensional projection onto the orthogonal subspace. The high-dimensional projection is estimated via sparse regression and the linear functional is cast as a robust location estimation problem. Existing robust estimators turn out to be suboptimal, and we show a kernel mode estimator with a widening bandwidth exploits the Gaussian character of the data to achieve the optimal estimation rate.
Cite
@article{arxiv.2312.09356,
title = {Sparsity meets correlation in Gaussian sequence model},
author = {Subhodh Kotekal and Chao Gao},
journal= {arXiv preprint arXiv:2312.09356},
year = {2025}
}