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Optimal Estimation in Orthogonally Invariant Generalized Linear Models: Spectral Initialization and Approximate Message Passing
Yihan Zhang, Hong Chang Ji, Ramji Venkataramanan +1
We consider the problem of parameter estimation from a generalized linear model with a random design matrix that is orthogonally invariant in law. Such a model allows the design ha…
Matrix Denoising with Doubly Heteroscedastic Noise: Fundamental Limits and Optimal Spectral Methods
Yihan Zhang, Marco Mondelli
We study the matrix denoising problem of estimating the singular vectors of a rank- signal corrupted by noise with both column and row correlations. Existing works are either un…
Spectral Estimators for Structured Generalized Linear Models via Approximate Message Passing
Yihan Zhang, Hong Chang Ji, Ramji Venkataramanan +1
We consider the problem of parameter estimation in a high-dimensional generalized linear model. Spectral methods obtained via the principal eigenvector of a suitable data-dependent…