Statistical Barriers to Affine-equivariant Estimation

Abstract

We investigate the quantitative performance of affine-equivariant estimators for robust mean estimation. As a natural stability requirement, the construction of such affine-equivariant estimators has been extensively studied in the statistics literature. We quantitatively evaluate these estimators under two outlier models which have been the subject of much recent work: the heavy-tailed and adversarial corruption settings. We establish lower bounds which show that affine-equivariance induces a strict degradation in recovery error with quantitative rates degrading by a factor of $\sqrt{d}$ in both settings. We find that classical estimators such as the Tukey median (Tukey '75) and Stahel-Donoho estimator (Stahel '81 and Donoho '82) are either quantitatively sub-optimal even within the class of affine-equivariant estimators or lack any quantitative guarantees. On the other hand, recent estimators with strong quantitative guarantees are not affine-equivariant or require additional distributional assumptions to achieve it. We remedy this by constructing a new affine-equivariant estimator which nearly matches our lower bound. Our estimator is based on a novel notion of a high-dimensional median which may be of independent interest. Notably, our results are applicable more broadly to any estimator whose performance is evaluated in the Mahalanobis norm which, for affine-equivariant estimators, corresponds to an evaluation in Euclidean norm on isotropic distributions.