High-dimensional data are often most plausibly generated from distributions with complex structure and leptokurtosis in some or all components. Covariance and precision matrices provide a useful summary of such structure, yet the performance of popular matrix estimators typically hinges upon a sub-Gaussianity assumption. This paper presents robust matrix estimators whose performance is guaranteed for a much richer class of distributions. The proposed estimators, under a bounded fourth moment assumption, achieve the same minimax convergence rates as do existing methods under a sub-Gaussianity assumption. Consistency of the proposed estimators is also established under the weak assumption of bounded |$2+\epsilon$| moments for |$\epsilon\in (0,2)$|⁠. The associated convergence rates depend on |$\epsilon$|⁠.

Data with a relatively small number of study individuals and a very large number of potential explanatory features arise particularly, but by no means only, in genomics. A powerful method of analysis, the lasso [Tibshirani R (1996) J Roy Stat Soc B 58:267–288], takes account of an assumed sparsity of effects, that is, that most of the features are nugatory. Standard criteria for model fitting, such as the method of least squares, are modified by imposing a penalty for each explanatory variable used. There results a single model, leaving open the possibility that other sparse choices of explanatory features fit virtually equally well. The method suggested in this paper aims to specify simple models that are essentially equally effective, leaving detailed interpretation to the specifics of the particular study. The method hinges on the ability to make initially a very large number of separate analyses, allowing each explanatory feature to be assessed in combination with many other such features. Further stages allow the assessment of more complex patterns such as nonlinear and interactive dependences. The method has formal similarities to so-called partially balanced incomplete block designs introduced 80 years ago [Yates F (1936) J Agric Sci 26:424–455] for the study of large-scale plant breeding trials. The emphasis in this paper is strongly on exploratory analysis; the more formal statistical properties obtained under idealized assumptions will be reported separately. Significance Data with a small number of study individuals and a large number of potential explanatory features arise particularly in genomics. Existing methods of analysis result in a single model, but other sparse choices of explanatory features may fit virtually equally well. Our primary aim is essentially a set of acceptable simple representations. The method allows the assessment of anomalies, such as nonlinearities and interactions.

The analysis of binary response data commonly uses models linear in the logistic transform of probabilities. This paper considers some of the advantages and disadvantages of simple least-squares estimates based on a linear representation of the probabilities themselves, this in particular sometimes allowing a more direct empirical interpretation of underlying parameters. A sociological study is used in illustration.

Parametric statistical problems involving both large amounts of data and models with many parameters raise issues that are explicitly or implicitly differential geometric. When the number of nuisance parameters is comparable to the sample size, alternative approaches to inference on interest parameters treat the nuisance parameters either as random variables or as arbitrary constants. The two approaches are compared in the context of parametric survival analysis, with emphasis on the effects of misspecification of the random effects distribution. Notably, we derive a detailed expression for the precision of the maximum likelihood estimator of an interest parameter when the assumed random effects model is erroneous, recovering simply derived results based on the Fisher information in the correctly specified situation but otherwise illustrating complex dependence on other aspects. Methods of assessing model adequacy are given. The results are both directly applicable and illustrate general principles of inference when there is a high-dimensional nuisance parameter. Open problems with an information geometrical bearing are outlined.

Black-box techniques have been applied with outstanding results to classify, in a supervised manner, the movement patterns of Alzheimer’s patients according to their stage of the disease. However, these techniques do not provide information on the difference of the patterns among the stages. We make use of functional data analysis to provide insight on the nature of these differences. In particular, we calculate the center of symmetry of the underlying distribution at each stage and use it to compute the functional depth of the movements of each patient. This results in an ordering of the data to which we apply nonparametric permutation tests to check on the differences in the distribution, median and deviance from the median. We consistently obtain that the movement pattern at each stage is significantly different to that of the prior and posterior stage in terms of the deviance from the median applied to the depth. The approach is validated by simulation.

Summary: Direct use of the likelihood function typically produces severely biased estimates when the dimension of the parameter vector is large relative to the effective sample size. With linearly separable data generated from a logistic regression model, the loglikelihood function asymptotes and the maximum likelihood estimator does not exist. We show that an exact analysis for each regression coefficient produces half-infinite confidence sets for some parameters when the data are separable. Such conclusions are not vacuous, but an honest portrayal of the limitations of the data. Finite confidence sets are only achievable when additional, perhaps implicit, assumptions are made. Under a notional double-asymptotic regime in which the dimension of the logistic coefficient vector increases with the sample size, the present paper considers the implications of enforcing a natural constraint on the vector of logistic transformed probabilities. We derive a relationship between the logistic coefficients and a notional parameter obtained as a probability limit of an ordinary least-squares estimator. The latter exists even when the data are separable. Consistency is ascertained under weak conditions on the design matrix.