Linear Functional Testing with General Loadings in Sparse Regression: Separation Rates and Computational Barriers

TL;DR

This paper investigates the limits of statistical testing in high-dimensional sparse linear regression, establishing bounds and computational barriers for separation rates across different sparsity regimes.

Contribution

It introduces a computationally efficient test with bounds on separation distance, and provides evidence of a statistical-computational gap through lower bounds and reductions.

Findings

Bounds characterize separation rates in ultra-sparse regimes.

Matching upper and lower bounds in moderately sparse regimes.

Evidence suggests improving test rates may be computationally hard.

Abstract

We study the problem of testing $H_0: \xi^\top\beta=t_0$ in high-dimensional sparse linear regression with Gaussian random design and unknown design covariance. The loading vector $\xi$ is arbitrary, and the exact sparsity level $k$ is unknown but bounded by a known value $k_u$. Tests are required to control Type I error uniformly over the $k_u$-sparse null, while power is evaluated against $k$-sparse alternatives. We construct a computationally efficient mixed test that gives an upper bound on the adaptive separation distance and establish an information-theoretic lower bound calibrated to the magnitude profile of $\xi$. In the ultra-sparse regime $k_u\lesssim \sqrt n/\log p$, these bounds characterize the adaptive separation rate up to logarithmic factors for arbitrary $\xi$. In the moderately sparse regime $\sqrt n/\log p\ll k_u\lesssim n/\log p$, these bounds match for several classes of loading vectors but may differ in general. In this regime, we further prove a low-degree lower bound that matches the upper bound up to logarithmic factors. This provides evidence that improving on the rate of the mixed test, if statistically possible, may be computationally hard. For flat sparse loadings, we complement this evidence with a polynomial-time reduction from sparse CCA. Finally, we examine how information about the design covariance affects the adaptive separation rate in two settings. Under a sparse signed-spiked covariance model, the information-theoretic lower bound is attainable up to logarithmic factors by a computationally inefficient procedure, while the low-degree lower bound and sparse-CCA reduction continue to apply, providing evidence for a statistical-computational gap. When the design covariance is known and diagonal, the adaptive separation rate takes the same form as in the ultra-sparse regime.