Moving Beyond Sub-Gaussianity in High-Dimensional Statistics: Applications in Covariance Estimation and Linear Regression

Concentration inequalities form an essential toolkit in the study of high dimensional (HD) statistical methods. Most of the relevant statistics literature in this regard is based on sub-Gaussian or sub-exponential tail assumptions. In this paper, we first bring together various probabilistic inequalities for sums of independent random variables under much weaker exponential type (namely sub-Weibull) tail assumptions. These results extract a part sub-Gaussian tail behavior in finite samples, matching the asymptotics governed by the central limit theorem, and are compactly represented in terms of a new Orlicz quasi-norm - the Generalized Bernstein-Orlicz norm - that typifies such tail behaviors. We illustrate the usefulness of these inequalities through the analysis of four fundamental problems in HD statistics. In the first two problems, we study the rate of convergence of the sample covariance matrix in terms of the maximum elementwise norm and the maximum k-sub-matrix operator norm which are key quantities of interest in bootstrap, HD covariance matrix estimation and HD inference. The third example concerns the restricted eigenvalue condition, required in HD linear regression, which we verify for all sub-Weibull random vectors through a unified analysis, and also prove a more general result related to restricted strong convexity in the process. In the final example, we consider the Lasso estimator for linear regression and establish its rate of convergence under much weaker than usual tail assumptions (on the errors as well as the covariates), while also allowing for misspecified models and both fixed and random design. To our knowledge, these are the first such results for Lasso obtained in this generality. The common feature in all our results over all the examples is that the convergence rates under most exponential tails match the usual ones under sub-Gaussian assumptions.Comment: 64 pages; Revised version (discussions added and some results modified in Section 4, minor changes made throughout

Super Quantum Discord with Weak Measurements

Weak measurements cause small change to quantum states, thereby opening up the possibility of new ways of manipulating and controlling quantum systems. We ask, can weak measurements reveal more quantum correlation in a composite quantum state? We prove that the weak measurement induced quantum discord, called as the "super quantum discord", is always larger than the quantum discord captured by the strong measurement. Moreover, we prove the monotonicity of the super quantum discord as a function of the measurement strength. We find that unlike the normal quantum discord, for pure entangled states, the super quantum discord can exceed the quantum entanglement. Our result shows that the notion of quantum correlation is not only observer dependent but also depends on how weakly one perturbs the composite system.Comment: Latex, 5 pages, 2 Figs, Monotonicity of the super discord with the measurement strength is included. Application to the entropic uncertainty relation will be reported separatel

Monogamy, polygamy, and other properties of entanglement of purification

For bipartite pure and mixed quantum states, in addition to the quantum mutual information, there is another measure of total correlation, namely, the entanglement of purification. We study the monogamy, polygamy, and additivity properties of the entanglement of purification for pure and mixed states. In this paper, we show that, in contrast to the quantum mutual information which is strictly monogamous for any tripartite pure states, the entanglement of purification is polygamous for the same. This shows that there can be genuinely two types of total correlation across any bipartite cross in a pure tripartite state. Furthermore, we find the lower bound and actual values of the entanglement of purification for different classes of tripartite and higher-dimensional bipartite mixed states. Thereafter, we show that if entanglement of purification is not additive on tensor product states, it is actually subadditive. Using these results, we identify some states which are additive on tensor products for entanglement of purification. The implications of these findings on the quantum advantage of dense coding are briefly discussed, whereby we show that for tripartite pure states, it is strictly monogamous and if it is nonadditive, then it is superadditive on tensor product states.Comment: 12 pages, 2 figures, Published versio