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$L^1$ Estimation: On the Optimality of Linear Estimators (2309.09129v4)

Published 17 Sep 2023 in math.ST, cs.IT, math.IT, stat.ML, and stat.TH

Abstract: Consider the problem of estimating a random variable $X$ from noisy observations $Y = X+ Z$, where $Z$ is standard normal, under the $L1$ fidelity criterion. It is well known that the optimal Bayesian estimator in this setting is the conditional median. This work shows that the only prior distribution on $X$ that induces linearity in the conditional median is Gaussian. Along the way, several other results are presented. In particular, it is demonstrated that if the conditional distribution $P_{X|Y=y}$ is symmetric for all $y$, then $X$ must follow a Gaussian distribution. Additionally, we consider other $Lp$ losses and observe the following phenomenon: for $p \in [1,2]$, Gaussian is the only prior distribution that induces a linear optimal Bayesian estimator, and for $p \in (2,\infty)$, infinitely many prior distributions on $X$ can induce linearity. Finally, extensions are provided to encompass noise models leading to conditional distributions from certain exponential families.

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