In the theory of compressed sensing (CS), the sparsity \|x\|_0 of the unknown signal x∈\R^p is commonly assumed to be a known parameter. However, it is typically unknown in practice. Due to the fact that many aspects of CS depend on knowing \|x\|_0, it is important to estimate this parameter in a data-driven way. A second practical concern is that \|x\|_0 is a highly unstable function of x. In particular, for real signals with entries not exactly equal to 0, the value \|x\|_0=p is not a useful description of the effective number of coordinates. In this paper, we propose to estimate a stable measure of sparsity s(x):=\|x\|_1^2/\|x\|_2^2, which is a sharp lower bound on \|x\|_0. Our estimation procedure uses only a small number of linear measurements, does not rely on any sparsity assumptions, and requires very little computation. A confidence interval for s(x) is provided, and its width is shown to have no dependence on the signal dimension p. Moreover, this result extends naturally to the matrix recovery setting, where a soft version of matrix rank can be estimated with analogous guarantees. Finally, we show that the use of randomized measurements is essential to estimating s(x). This is accomplished by proving that the minimax risk for estimating s(x) with deterministic measurements is large when n≪p.

We consider the hypothesis testing problem of detecting a shift between the means of two multivariate normal distributions in the high-dimensional setting, allowing for the data dimension p to exceed the sample size n. Our contribution is a new test statistic for the two-sample test of means that integrates a random projection with the classical Hotelling T squared statistic. Working within a high- dimensional framework that allows (p,n) to tend to infinity, we first derive an asymptotic power function for our test, and then provide sufficient conditions for it to achieve greater power than other state-of-the-art tests. Using ROC curves generated from simulated data, we demonstrate superior performance against competing tests in the parameter regimes anticipated by our theoretical results. Lastly, we illustrate an advantage of our procedure with comparisons on a high-dimensional gene expression dataset involving the discrimination of different types of cancer.