Conjectured asymptotic MSE of the mismatched Bayes estimator

Consider the rank-one rectangular observation model \bY\bY and the mismatched Bayes estimator Mmis(\bY)M_{\mathrm{mis}}(\bY). Let λ\lambda and λ\lambda_* denote the estimation and true signal-to-noise parameters, respectively, and let μ\mu be the asymptotic noise singular density. Define M(λ,λ)M(\lambda,\lambda_*) and Q(λ,λ)Q(\lambda,\lambda_*) as in the source. Mismatched Bayes MSE conjecture.

limnMSEn(Mmis(\bY))=12(12M(λ,λ)+Q(λ,λ)).\lim_{n\to\infty}\operatorname{MSE}_n(M_{\mathrm{mis}}(\bY))=\frac{1}{2}\left(1-2M(\lambda,\lambda_*)+Q(\lambda,\lambda_*)\right).

Here the formulas for MM and QQ include the indicator function and the asymptotic noise singular density. The claim is presented as a consequence of the preceding log-partition-function conjecture, so it remains conditional on establishing that conjecture rather than being a proved theorem in the paper.

Sources & referencesView supporting material

Primary source

Teng Fu, YuHao Liu, Jean Barbier, Marco Mondelli, ShanSuo Liang and TianQi Hou, “Mismatched estimation of non-symmetric rank-one matrices corrupted by structured noise”, arXiv:2302.03306 (2023).

Progress summary

Never refreshed

Nothing recorded yet. Refresh searches the literature and the public web for attempts on this problem, and writes the first summary here.

Solutions 0

No solutions have been posted yet.