Constructing confidence sets for the matrix completion problem

Alexandra Carpentier (), Olga Klopp () and Matthias Löffler ()
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Alexandra Carpentier: Institut für Mathematik, Universität Potsdam
Olga Klopp: ESSEC Business School ; CREST
Matthias Löffler: University of Cambridge, Statistical Laboratory, Centre for Mathematical Sciences

No 2017-41, Working Papers from Center for Research in Economics and Statistics

Abstract: In the present note we consider the problem of constructing honest and adaptive confidence sets for the matrix completion problem. For the Bernoulli model with known variance of the noise we provide a realizable method for constructing con dence sets that adapt to the unknown rank of the true matrix.

Keywords: low rank recovery; confidence sets; adaptivity; matrix completion (search for similar items in EconPapers)
Pages: 13 pages
Date: 2017-12-08
New Economics Papers: this item is included in nep-ecm
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