Statistical performance of quantile tensor regression with convex regularization

Abstract

In this paper, we consider high-dimensional quantile tensor regression using a general convex decomposable regularizer and analyze the statistical performances of the estimator. The rates are stated in terms of the intrinsic dimension of the estimation problem, which is, roughly speaking, the dimension of the smallest subspace that contains the true coefficient. Previously, convex regularized tensor regression has been studied with a least squares loss, Gaussian tensorial predictors and Gaussian errors, with rates that depend on the Gaussian width of a convex set. Our results extend the previous work to nonsmooth quantile loss. To deal with the non-Gaussian setting, we use the concept of Rademacher complexity with appropriate concentration inequalities instead of the Gaussian width. For the multi-linear nuclear norm penalty, our Orlicz norm bound for the operator norm of a random matrix may be of independent interest. We validate the theoretical guarantees in numerical experiments. We also demonstrate advantage of quantile regression over mean regression, and compare the performance of convex regularization method and nonconvex decomposition method in solving quantile tensor regression problem in simulation studies.