English

Sparsity meets correlation in Gaussian sequence model

Statistics Theory 2025-01-23 v2 Methodology Statistics Theory

Abstract

We study estimation of an ss-sparse signal in the pp-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 p2sp-2s and exhibits a phase transition at p2spp-2s \asymp \sqrt{p}. 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 (p1)(p-1)-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.

Keywords

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}
}
R2 v1 2026-06-28T13:51:40.080Z