Concentration of Maxima and Fundamental Limits in High-Dimensional Testing and Inference
Concentration of Maxima and Fundamental Limits in High-Dimensional Testing and Inference by Zheng Gao
English | PDF,EPUB | 2021 | 147 Pages | ISBN : 3030809633 | 13.2 MB
This book provides a unified exposition of some fundamental theoretical problems in high-dimensional statistics. It specifically considers the canonical problems of detection and support estimation for sparse signals observed with noise. Novel phase-transition results are obtained for the signal support estimation problem under a variety of statistical risks. Based on a surprising connection to a concentration of maxima probabilistic phenomenon, the authors obtain a complete characterization of the exact support recovery problem for thresholding estimators under dependent errors.