AI & ML
Statistical Guarantees for Covariance Estimation with Adversarial Corruption under Constraints
arXiv stat.TH0 views
arXiv:2610.10840v1 Announce Type: new Abstract: We obtain a near-minimax rate on covariance estimation of adversarially corrupted Gaussian data in Frobenius norm when the covariance estimation is assumed to lie in a star-shaped set $K \subseteq \mathbb{R}^{n \times n}$. Assuming a known upper bound of $\varepsilon < 1/32$ on the fraction of the $N$ observations of data $X$ are arbitrarily corrupted by an omniscient adversary, we obtain the near-minimax rate (up to constants) of \begin{align*} \left(\varepsilon^2 \vee \delta^{\star2} \right)\wedge d^2 \lesssim \inf_{\hat\Sigma} \sup_{\Sigma \in K} \sup_{\mathrm{C}} \mathbb{E} \| \hat\Sigma(\mathrm{C}(X)) - \Sigma \|_F^2 \lesssim \left(\varepsilon^2\log^2(1/\varepsilon) \vee \delta^{\star2} \right)\wedge d^2 \end{align*} where $d$ is the diameter of the set $K$, $N \gtrsim \sup_{\delta > 0} \log \mathrm{M}^{\operatorname{loc}}(\delta, 2c)$, and \begin{align*} \delta^*=\sup\left\{ \delta\geq 0: \frac{N}{\Upsilon^2} \delta^2\leq \log \mathrm{M}_K^{\operatorname{loc}}(\delta,c) \right\} \end{align*} for an arbitrary large constant $c$ and the local metric entropy of $K$, $\mathrm{M}^{\operatorname{loc}}_K(\delta,c)$. We believe this is the first such general result on structured robust covariance estimation in the Frobenius norm.
Source:https://arxiv.org/abs/2610.10840PreviousHow Many Directions Must a Truncated Diffusion Sampler Retain? Matching Bounds Under Power-Law SpectraNextWhen Does Inexact Matching Ensure Balance and Inference without Adjustment?
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