Dimension-free Bounds for Covariance Estimation with Tensor-Train Structure
张量列结构下协方差估计的无维界
We consider a problem of covariance estimation from a sample of i.i.d. high-dimensional random vectors. To avoid the curse of dimensionality, we impose an additional assumption on the structure of the covariance matrix $Σ$. To be more precise, we study the case when $Σ$ can be approximated by a sum of double Kronecker products of smaller matrices in a tensor train (TT) format. Our setup naturally extends widely known Kronecker sum and CANDECOMP/PARAFAC models but admits…