A Multiscale Scan Statistic for Adaptive Submatrix Localization
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Publication:6320816
arXiv1906.08884MaRDI QIDQ6320816
Author name not available (Why is that?)
Publication date: 20 June 2019
Abstract: We consider the problem of localizing a submatrix with larger-than-usual entry values inside a data matrix, without the prior knowledge of the submatrix size. We establish an optimization framework based on a multiscale scan statistic, and develop algorithms in order to approach the optimizer. We also show that our estimator only requires a signal strength of the same order as the minimax estimator with oracle knowledge of the submatrix size, to exactly recover the anomaly with high probability. We perform some simulations that show that our estimator has superior performance compared to other estimators which do not require prior submatrix knowledge, while being comparatively faster to compute.
Has companion code repository: https://github.com/nozoeli/adaptiveBiclustering
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