Annals of Statistics
- Ann. Statist.
- Volume 46, Number 6B (2018), 3481-3509.
Robust low-rank matrix estimation
Many results have been proved for various nuclear norm penalized estimators of the uniform sampling matrix completion problem. However, most of these estimators are not robust: in most of the cases the quadratic loss function and its modifications are used. We consider robust nuclear norm penalized estimators using two well-known robust loss functions: the absolute value loss and the Huber loss. Under several conditions on the sparsity of the problem (i.e., the rank of the parameter matrix) and on the regularity of the risk function sharp and nonsharp oracle inequalities for these estimators are shown to hold with high probability. As a consequence, the asymptotic behavior of the estimators is derived. Similar error bounds are obtained under the assumption of weak sparsity, that is, the case where the matrix is assumed to be only approximately low-rank. In all of our results, we consider a high-dimensional setting. In this case, this means that we assume $n\leq pq$. Finally, various simulations confirm our theoretical results.
Ann. Statist., Volume 46, Number 6B (2018), 3481-3509.
Received: May 2016
Revised: October 2017
First available in Project Euclid: 11 September 2018
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Elsener, Andreas; van de Geer, Sara. Robust low-rank matrix estimation. Ann. Statist. 46 (2018), no. 6B, 3481--3509. doi:10.1214/17-AOS1666. https://projecteuclid.org/euclid.aos/1536631281
- Supplement to “Robust low-rank matrix estimation”. The supplemental material contains an application to real data sets, the proofs of the lemmas in Section 2 and a section on the bound of the empirical process part of the estimation problem.