Metric Entropy and Minimax Risk of Ellipsoids with an Application to Pinsker's Theorem

Abstract: We study how large an $\ell^2$ ellipsoid is by introducing type-$\tau$ integrals that capture the average decay of its semi-axes. These integrals turn out to be closely related to standard complexity measures: we show that the metric entropy of the ellipsoid is asymptotically equivalent to the type-1 integral, and that the minimax risk in non-parametric estimation is asymptotically determined by the type-2 and type-3 integrals. This allows us to retrieve and sharpen classical results about metric entropy and minimax risk of ellipsoids through a systematic analysis of the type-$\tau$ integrals, and yields an explicit formula linking the two. As an application, we improve on the best-known characterization of the metric entropy of the Sobolev ellipsoid, and extend Pinsker's Sobolev theorem in two ways: (i) to any bounded open domain in arbitrary finite dimension, and (ii) by providing the second-order term in the asymptotic expansion of the minimax risk.