Noise Level Estimation in High-Dimensional Linear Models

G. K. Golubev, Ekaterina A. Krymova

Abstract: We consider the problem of estimating the noise level σ2 in a Gaussian linear model Y = Xβ+σξ, where ξ ∈ ℝn is a standard discrete white Gaussian noise and β ∈ ℝp an unknown nuisance vector. It is assumed that X is a known ill-conditioned n × p matrix with n ≥ p and with large dimension p. In this situation the vector β is estimated with the help of spectral regularization of the maximum likelihood estimate, and the noise level estimate is computed with the help of adaptive (i.e., data-driven) normalization of the quadratic prediction error. For this estimate, we compute its concentration rate around the pseudo-estimate ||Y − Xβ||2/n.