High Dimensional Matrix Estimation With Unknown Variance Of The Noise

Olga Klopp ()
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Olga Klopp: CREST

No 2012-05, Working Papers from Center for Research in Economics and Statistics

Abstract: We propose a new pivotal method for estimating high-dimensional matrices. Assume that we observe a small set of entries or linear combinations of entries of an unknown matrix A0 corrupted by noise. We propose a new method for estimating A0 which does not rely on the knowledge or an estimation of the standard deviation of the noise . Our estimator achieves, up to a logarithmic factor, optimal rates of convergence under the Frobenius risk and, thus, has the same prediction performance as previously proposed estimators which rely on the knowledge of . Our method is based on the solution of a convex optimization problem which makes it computationally attractive

Keywords: Matrix completion; matrix regression; low rank matrix estimation; recovery of the rank (search for similar items in EconPapers)
Pages: 27
Date: 2012-02
New Economics Papers: this item is included in nep-ecm
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