Statistical thresholds for Tensor PCA
Probability
2023-06-23 v2 Statistics Theory
Statistics Theory
Abstract
We study the statistical limits of testing and estimation for a rank one deformation of a Gaussian random tensor. We compute the sharp thresholds for hypothesis testing and estimation by maximum likelihood and show that they are the same. Furthermore, we find that the maximum likelihood estimator achieves the maximal correlation with the planted vector among measurable estimators above the estimation threshold. In this setting, the maximum likelihood estimator exhibits a discontinuous BBP-type transition: below the critical threshold the estimator is orthogonal to the planted vector, but above the critical threshold, it achieves positive correlation which is uniformly bounded away from zero.
Cite
@article{arxiv.1812.03403,
title = {Statistical thresholds for Tensor PCA},
author = {Aukosh Jagannath and Patrick Lopatto and Leo Miolane},
journal= {arXiv preprint arXiv:1812.03403},
year = {2023}
}