Optimal estimation of Schatten norms of a rectangular matrix
矩形矩阵 Schatten 范数的最优估计
We consider the twin problems of estimating the effective rank and the Schatten norms ‖A‖s of a rectangular p×q matrix A from noisy observations. When s is an even integer, we introduce a polynomial-time estimator of ‖A‖s that achieves the minimax rate (pq)1/4. Interestingly, this optimal rate does not depend on the underlying rank of the matrix A. When s is not an even integer, the optimal rate is much slower. A simple thresholding estimator of the singular values achieves…