Pseudo-maximum likelihood theory for high-dimensional rank one inference
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高维秩一推断的伪最大似然理论AI 解读 ↓
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We develop a pseudo-likelihood theory for rank one matrix estimation problems in the high-dimensional limit. We prove a variational principle for the limiting pseudo-maximum likelihood, which also characterizes the performance of the corresponding pseudo-maximum likelihood estimator. We show that this variational principle is universal and depends only on four parameters determined by the corresponding null model. Through this universality, we introduce a notion of equivalence for estimation problems of this type and, in particular, show that a broad class of estimation tasks, including community detection, sparse submatrix detection and nonlinear spiked matrix models, are equivalent to spiked matrix models. As an application, we obtain a complete description of the performance of the least-squares (or “best rank one”) estimator for any rank one matrix estimation problem.
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