Tuning-free one-bit covariance estimation using data-driven dithering

07/24/2023
by   Sjoerd Dirksen, et al.
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We consider covariance estimation of any subgaussian distribution from finitely many i.i.d. samples that are quantized to one bit of information per entry. Recent work has shown that a reliable estimator can be constructed if uniformly distributed dithers on [-λ,λ] are used in the one-bit quantizer. This estimator enjoys near-minimax optimal, non-asymptotic error estimates in the operator and Frobenius norms if λ is chosen proportional to the largest variance of the distribution. However, this quantity is not known a-priori, and in practice λ needs to be carefully tuned to achieve good performance. In this work we resolve this problem by introducing a tuning-free variant of this estimator, which replaces λ by a data-driven quantity. We prove that this estimator satisfies the same non-asymptotic error estimates - up to small (logarithmic) losses and a slightly worse probability estimate. Our proof relies on a new version of the Burkholder-Rosenthal inequalities for matrix martingales, which is expected to be of independent interest.

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