High-dimensional Tensor Response Regression using the t-Distribution
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In recent years, promising statistical modeling approaches to tensor data analysis have been rapidly developed. Traditional multivariate analysis tools, such as multivariate regression and discriminant analysis, are generalized from modeling random vectors and matrices to higher-order random tensors. One of the biggest challenges to statistical tensor models is the non-Gaussian nature of many real-world data. Unfortunately, existing approaches are either restricted to normality or implicitly using least squares type objective functions that are computationally efficient but sensitive to data contamination. Motivated by this, we adopt a simple tensor t-distribution that is, unlike the commonly used matrix t-distributions, compatible with tensor operators and reshaping of the data. We study the tensor response regression with tensor t-error, and develop penalized likelihood-based estimation and a novel one-step estimation. We study the asymptotic relative efficiency of various estimators and establish the one-step estimator's oracle properties and near-optimal asymptotic efficiency. We further propose a high-dimensional modification to the one-step estimation procedure and show that it attains the minimax optimal rate in estimation. Numerical studies show the excellent performance of the one-step estimator.
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