Finite sample properties of random covariance-type matrices have been the subject of much research. In this paper we focus on the “lower tail”’ of such a matrix, and prove that it is subgaussian under a simple fourth moment assumption on the onedimensional marginals of the random vectors. A similar result holds for more general sums of random positive semidefinite matrices, and the (relatively simple) proof uses a variant of the so-called PAC-Bayesian method for bounding empirical processes. We give two applications of the main result. In the first one we obtain a new finitesample bound for ordinary least squares estimator in linear regression with random design. Our result is model-free, requires fairly weak moment assumptions and is almost optimal. Our second application is to bounding restricted eigenvalue constants of certain random ensembles with “heavy tails”. These constants are important in the analysis of problems in Compressed Sensing and High Dimensional Statistics, where one recovers a sparse vector from a small umber of linear measurements. Our result implies that heavy tails still allow for the fast recovery rates found in efficient methods such as the LASSO and the Dantzig selector. Along the way we strengthen, with a fairly short argument, a recent result of Rudelson and Zhou on the restricted eigenvalue property.
Random matrices are widely used in sparse recovery problems, and the relevant properties of matrices with i.i.d. entries are well understood. This paper discusses the recently introduced restricted eigenvalue (RE) condition, which is among the most general assumptions on the matrix, guaranteeing recovery. We prove a reduction principle showing that the RE condition can be guaranteed by checking the restricted isometry on a certain family of low-dimensional subspaces. This principle allows us to establish the RE condition for several broad classes of random matrices with dependent entries, including random matrices with sub-Gaussian rows and nontrivial covariance structure, as well as matrices with independent rows, and uniformly bounded entries. This paper introduces a simple and very general theory of compressive sensing. In this theory, the sensing mechanism simply selects sensing vectors independently at random from a probability distribution F; it includes all standard models-e.g., Gaussian, frequency measurements-discussed in the literature, but also provides a framework for new measurement strategies as well. We prove that if the probability distribution F obeys a simple incoherence property and an isotropy property, one can faithfully recover approximately sparse signals from a minimal number of noisy measurements. The novelty is that our recovery results do not require the restricted isometry property (RIP) to hold near the sparsity level in question, nor a random model for the signal. As an example, the paper shows that a signal with s nonzero entries can be faithfully recovered from about s logn Fourier coefficients that are contaminated with noise. Methods based on l1-relaxation, such as basis pursuit and the Lasso, are very popular for sparse regression in high dimensions. The conditions for success of these methods are now well-understood: (1) exact recovery in the noiseless setting is possible if and only if the design matrix X satisfies the restricted nullspace property, and (2) the squared l2-error of a Lasso estimate decays at the minimax optimal rate k log p n, where k is the sparsity of the p-dimensional regression problem with additive Gaussian noise, whenever the design satisfies a restricted eigenvalue condition. The key issue is thus to determine when the design matrix X satisfies these desirable properties. Thus far, there have been numerous results showing that the restricted isometry property, which implies both the restricted nullspace and eigenvalue conditions, is satisfied when all entries of X are independent and identically distributed (i.i.d.), or the rows are unitary. This paper proves directly that the restricted nullspace and eigenvalue conditions hold with high probability for quite general classes of Gaussian matrices for which the predictors may be highly dependent, and hence restricted isometry conditions can be violated with high probability. In this way, our results extend the attractive theoretical guarantees on l1-relaxations to a much broader class of problems than the case of completely independent or unitary designs.