Minimax sparse principal subspace estimation in high dimensions

DOI10.1214/13-AOS1151zbMath1288.62103arXiv1211.0373MaRDI QIDQ2443207

Publication date: 4 April 2014

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1211.0373

zbMATH Keywords

random matrices; sparsity; high-dimensional statistics; minimax bounds; principal components analysis

Mathematics Subject Classification ID

62H25: Factor analysis and principal components; correspondence analysis

62H12: Estimation in multivariate analysis

62C20: Minimax procedures in statistical decision theory

15A18: Eigenvalues, singular values, and eigenvectors

Related Items

An $\ell_{\infty}$ Eigenvector Perturbation Bound and Its Application to Robust Covariance Estimation, ECA: High-Dimensional Elliptical Component Analysis in Non-Gaussian Distributions, Unnamed Item, Sparse Functional Principal Component Analysis in High Dimensions, [HDDA sparse subspace constrained partial least squares], Estimating structured high-dimensional covariance and precision matrices: optimal rates and adaptive estimation, A Unifying Tutorial on Approximate Message Passing, Wald Statistics in high-dimensional PCA, High-Dimensional Vector Autoregressive Time Series Modeling via Tensor Decomposition, Nearly optimal stochastic approximation for online principal subspace estimation, Distributed Estimation for Principal Component Analysis: An Enlarged Eigenspace Analysis, Stochastic Gauss-Newton algorithms for online PCA, Van Trees inequality, group equivariance, and estimation of principal subspaces, Bayesian sparse spiked covariance model with a continuous matrix shrinkage prior, Optimal discriminant analysis in high-dimensional latent factor models, Sparse principal component analysis for high‐dimensional stationary time series, Dynamic Principal Component Analysis in High Dimensions, Euclidean Representation of Low-Rank Matrices and Its Geometric Properties, On the optimality of the Oja's algorithm for online PCA, PCA Sparsified, Long random matrices and tensor unfolding, Envelopes and principal component regression, Sparse PCA-based on high-dimensional Itô processes with measurement errors, Posterior contraction rates of the phylogenetic Indian buffet processes, Near-optimal stochastic approximation for online principal component estimation, A Schatten-$q$ low-rank matrix perturbation analysis via perturbation projection error bound, High-resolution signal recovery via generalized sampling and functional principal component analysis, Optimal sparse eigenspace and low-rank density matrix estimation for quantum systems, Minimax estimation in sparse canonical correlation analysis, Recent developments in high dimensional covariance estimation and its related issues, a review, Robust covariance estimation for approximate factor models, Slice inverse regression with score functions, Bayesian variable selection for globally sparse probabilistic PCA, Linearity identification for general partial linear single-index models, Robust covariance and scatter matrix estimation under Huber's contamination model, High-dimensional index volatility models via Stein's identity, Spectral thresholding for the estimation of Markov chain transition operators, Testing equivalence of clustering, Overlapping community detection in networks via sparse spectral decomposition, Alternating maximization: unifying framework for 8 sparse PCA formulations and efficient parallel codes, Lower bounds for invariant statistical models with applications to principal component analysis, Efficient estimation of linear functionals of principal components, Nonasymptotic upper bounds for the reconstruction error of PCA, Subspace perspective on canonical correlation analysis: dimension reduction and minimax rates, Distributed estimation of principal eigenspaces, Recovery of simultaneous low rank and two-way sparse coefficient matrices, a nonconvex approach, Principal component analysis in the local differential privacy model, Sparse principal component analysis with missing observations, Squared-norm empirical processes, Consistency of spectral clustering in stochastic block models, Sparsistency and agnostic inference in sparse PCA, Optimal estimation and rank detection for sparse spiked covariance matrices, Rate-optimal posterior contraction for sparse PCA, Do semidefinite relaxations solve sparse PCA up to the information limit?, Large covariance estimation through elliptical factor models

Uses Software

PMA

Cites Work