The Annals of Statistics

Robust low-rank matrix estimation

Abstract

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.

Article information

Source
Ann. Statist., Volume 46, Number 6B (2018), 3481-3509.

Dates
Revised: October 2017
First available in Project Euclid: 11 September 2018

Permanent link to this document
https://projecteuclid.org/euclid.aos/1536631281

Digital Object Identifier
doi:10.1214/17-AOS1666

Subjects
Primary: 62J05: Linear regression 62F30: Inference under constraints
Secondary: 62H12: Estimation

Citation

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

Supplemental materials

• 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.
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