Learning Confidence Ellipsoids and Applications to Robust Subspace Recovery
arXiv:2512.16875v3 Announce Type: replace-cross Abstract: We study the problem of finding confidence ellipsoids for an arbitrary distribution in high dimensions. Given samples from a distribution $mathcal{D}$ and a confidence parameter $alpha$, the goal is to find the smallest volume ellipsoid $E$ which has probability mass $Pr_{mathcal{D}}[E] ge 1-alpha$. Ellipsoids are a highly expressive class of confidence sets as they can capture correlations in the distribution, and can approximate any convex set. This problem has been studied in many […]