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Constructing confidence sets for the matrix completion problem

Author

Listed:
  • Alexandra Carpentier

    (Institut für Mathematik, Universität Potsdam)

  • Olga Klopp

    (ESSEC Business School ; CREST)

  • Matthias Löffler

    (University of Cambridge, Statistical Laboratory, Centre for Mathematical Sciences)

Abstract

In the present note we consider the problem of constructing honest and adaptive confidence sets for the matrix completion problem. For the Bernoulli model with known variance of the noise we provide a realizable method for constructing con dence sets that adapt to the unknown rank of the true matrix.

Suggested Citation

  • Alexandra Carpentier & Olga Klopp & Matthias Löffler, 2017. "Constructing confidence sets for the matrix completion problem," Working Papers 2017-41, Center for Research in Economics and Statistics.
    • Handle: RePEc:crs:wpaper:2017-41
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    Keywords

    low rank recovery; confidence sets; adaptivity; matrix completion;
    All these keywords.

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