Optimal False Discovery Control of Minimax Estimator

Abstract

Two major research tasks lie at the heart of high dimensional data analysis: accurate parameter estimation and correct support recovery. The existing literature mostly aims for either the best parameter estimation or the best model selection result, however little has been done to understand the potential interaction between the estimation precision and the selection behavior. In this work, our minimax result shows that an estimator's performance of type I error control directly links with its $L_2$ estimation error rate, and reveals a trade-off phenomenon between the rate of convergence and the false discovery control: to achieve better accuracy, one risks yielding more false discoveries. In particular, we characterize the false discovery control behavior of rate optimal and rate suboptimal estimators under different sparsity regimes, and discover a rigid dichotomy between these two estimators under near-linear and linear sparsity settings. In addition, this work provides a rigorous explanation to the incompatibility phenomenon between selection consistency and rate minimaxity which has been frequently observed in the high dimensional literature.