Akshay Ramachandran

Lap Chi Lau, Akshay Ramachandran

A fundamental problem in statistics is estimating the shape matrix of an Elliptical distribution. This generalizes the familiar problem of Gaussian covariance estimation, for which the sample covariance achieves optimal estimation error. For Elliptical distributions, Tyler proposed a natural M-estimator and showed strong statistical properties in the asymptotic regime, independent of the underlying distribution. Numerical experiments show that this estimator performs very well, and that Tyler's iterative procedure converges quickly to the estimator. Franks and Moitra recently provided the first distribution-free error bounds in the finite sample setting, as well as the first rigorous convergence analysis of Tyler's iterative procedure. However, their results exceed the sample complexity of the Gaussian setting by a $\log^{2} d$ factor. We close this gap by proving optimal sample threshold and error bounds for Tyler's M-estimator for all Elliptical distributions, fully matching the Gaussian result. Moreover, we recover the algorithmic convergence even at this lower sample threshold. Our approach builds on the operator scaling connection of Franks and Moitra by introducing a novel pseudorandom condition, which we call $\infty$-expansion. We show that Elliptical distributions satisfy $\infty$-expansion at the optimal sample threshold, and then prove a novel scaling result for inputs satisfying this condition.

Cole Franks, Rafael Oliveira, Akshay Ramachandran et al.

The matrix normal model, i.e., the family of Gaussian matrix-variate distributions whose covariance matrices are the Kronecker product of two lower dimensional factors, is frequently used to model matrix-variate data. The tensor normal model generalizes this family to Kronecker products of three or more factors. We study the estimation of the Kronecker factors of the covariance matrix in the matrix and tensor normal models. For the above models, we show that the maximum likelihood estimator (MLE) achieves nearly optimal nonasymptotic sample complexity and nearly tight error rates in the Fisher-Rao and Thompson metrics. In contrast to prior work, our results do not rely on the factors being well-conditioned or sparse, nor do we need to assume an accurate enough initial guess. For the matrix normal model, all our bounds are minimax optimal up to logarithmic factors, and for the tensor normal model our bounds for the largest factor and for overall covariance matrix are minimax optimal up to constant factors provided there are enough samples for any estimator to obtain constant Frobenius error. In the same regimes as our sample complexity bounds, we show that the flip-flop algorithm, a practical and widely used iterative procedure to compute the MLE, converges linearly with high probability. Our main technical insight is that, given enough samples, the negative log-likelihood function is strongly geodesically convex in the geometry on positive-definite matrices induced by the Fisher information metric. This strong convexity is determined by the expansion of certain random quantum channels.