Georgia Institute of Technology College of Sciences

We discuss a problem of asymptotically efficient (that is, asymptotically normal with minimax optimal limit variance) estimation of functionals of the form $\langle f(\Sigma), B\rangle$ of unknown covariance $\Sigma$ based on i.i.d.mean zero Gaussian observations $X_1,\dots, X_n\in {\mathbb R}^d$ with covariance $$\Sigma$. Under the assumptions that the dimension $d\leq n^{\alpha}$ for some $\alpha\in (0,1)$ and $f:{\mathbb R}\mapsto {\mathbb R}$ is of smoothness $s>\frac{1}{1-\alpha},$ we show how to construct an asymptotically efficient estimator of such functionals (the smoothness threshold $\frac{1}{1-\alpha}$ is known to be optimal for a simpler problem of estimation of smooth functionals of unknown mean of normal distribution).

The proof of this result relies on a variety of probabilistic and analytic tools including Gaussian concentration, bounds on the remainders of Taylor expansions of operator functions and bounds on finite differences of smooth functions along certain Markov chains in the spaces of positively semi-definite matrices.