Statistical sparsity

TL;DR

This paper introduces a mathematical framework for statistical sparsity using exceedance measures and rate parameters, unifying existing models and guiding inference strategies in sparse signal detection.

Contribution

It provides a formal definition of statistical sparsity, characterizes its properties, and shows that inference can focus on exceedance measures rather than detailed signal distributions.

Findings

Sparsity is characterized by a small rate parameter $ ho$.

Sparse models with the same exceedance measure are asymptotically equivalent.

Focusing on exceedance measures simplifies inference in sparse settings.

Abstract

The main contribution of this paper is a mathematical definition of statistical sparsity, which is expressed as a limiting property of a sequence of probability distributions. The limit is characterized by an exceedance measure~$H$ and a rate parameter~$\rho > 0$, both of which are unrelated to sample size. The definition is sufficient to encompass all sparsity models that have been suggested in the signal-detection literature. Sparsity implies that $\rho$~is small, and a sparse approximation is asymptotic in the rate parameter, typically with error $o(\rho)$ in the sparse limit $\rho \to 0$. To first order in sparsity, the sparse signal plus Gaussian noise convolution depends on the signal distribution only through its rate parameter and exceedance measure. This is one of several asymptotic approximations implied by the definition, each of which is most conveniently expressed in terms of the zeta-transformation of the exceedance measure. One implication is that two sparse families having the same exceedance measure are inferentially equivalent, and cannot be distinguished to first order. A converse implication for methodological strategy is that it may be more fruitful to focus on the exceedance measure, ignoring aspects of the signal distribution that have negligible effect on observables and on inferences. From this point of view, scale models and inverse-power measures seem particularly attractive.