Generalized matrix decomposition regression: estimation and inference for two-way structured data

DOI10.1214/23-AOAS1746arXiv2104.08408MaRDI QIDQ6138615FDOQ6138615

Author name not available (Why is that?)

Publication date: 16 January 2024

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

Abstract: This paper studies high-dimensional regression with two-way structured data. To estimate the high-dimensional coefficient vector, we propose the generalized matrix decomposition regression (GMDR) to efficiently leverage any auxiliary information on row and column structures. The GMDR extends the principal component regression (PCR) to two-way structured data, but unlike PCR, the GMDR selects the components that are most predictive of the outcome, leading to more accurate prediction. For inference on regression coefficients of individual variables, we propose the generalized matrix decomposition inference (GMDI), a general high-dimensional inferential framework for a large family of estimators that include the proposed GMDR estimator. GMDI provides more flexibility for modeling relevant auxiliary row and column structures. As a result, GMDI does not require the true regression coefficients to be sparse; it also allows dependent and heteroscedastic observations. We study the theoretical properties of GMDI in terms of both the type-I error rate and power and demonstrate the effectiveness of GMDR and GMDI on simulation studies and an application to human microbiome data.

Full work available at URL: https://arxiv.org/abs/2104.08408

zbMATH Keywords

predictionhigh-dimensional inferencedimensionality reductionmicrobiome datatwo-way structured data

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

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