Optimal linear estimation under unknown nonlinear transform
This work addresses a fundamental challenge in statistical estimation for generalized linear models, with applications in compressed sensing and high-dimensional data analysis, though it is incremental as it builds on existing single-index model frameworks.
The paper tackles the problem of estimating a model parameter in a single-index model where the relationship between predictors and response is noisy, quantized, nonlinear, and unknown, proposing a spectral-based estimation procedure that recovers the parameter in settings where previous algorithms fail, with minimax optimality established in both classical and high-dimensional regimes.
Linear regression studies the problem of estimating a model parameter $β^* \in \mathbb{R}^p$, from $n$ observations $\{(y_i,\mathbf{x}_i)\}_{i=1}^n$ from linear model $y_i = \langle \mathbf{x}_i,β^* \rangle + ε_i$. We consider a significant generalization in which the relationship between $\langle \mathbf{x}_i,β^* \rangle$ and $y_i$ is noisy, quantized to a single bit, potentially nonlinear, noninvertible, as well as unknown. This model is known as the single-index model in statistics, and, among other things, it represents a significant generalization of one-bit compressed sensing. We propose a novel spectral-based estimation procedure and show that we can recover $β^*$ in settings (i.e., classes of link function $f$) where previous algorithms fail. In general, our algorithm requires only very mild restrictions on the (unknown) functional relationship between $y_i$ and $\langle \mathbf{x}_i,β^* \rangle$. We also consider the high dimensional setting where $β^*$ is sparse ,and introduce a two-stage nonconvex framework that addresses estimation challenges in high dimensional regimes where $p \gg n$. For a broad class of link functions between $\langle \mathbf{x}_i,β^* \rangle$ and $y_i$, we establish minimax lower bounds that demonstrate the optimality of our estimators in both the classical and high dimensional regimes.