Lower Bound of Locally Differentially Private Sparse Covariance Matrix Estimation

Abstract

In this paper, we study the sparse covariance matrix estimation problem in the local differential privacy model, and give a non-trivial lower bound on the non-interactive private minimax risk in the metric of squared spectral norm. We show that the lower bound is actually tight, as it matches a previous upper bound. Our main technique for achieving this lower bound is a general framework, called General Private Assouad Lemma, which is a considerable generalization of the previous private Assouad lemma and can be used as a general method for bounding the private minimax risk of matrix-related estimation problems.