Dynamic Principal Component Analysis in High Dimensions
From MaRDI portal
Publication:6153994
Abstract: Principal component analysis is a versatile tool to reduce dimensionality which has wide applications in statistics and machine learning. It is particularly useful for modeling data in high-dimensional scenarios where the number of variables is comparable to, or much larger than the sample size . Despite an extensive literature on this topic, researchers have focused on modeling static principal eigenvectors, which are not suitable for stochastic processes that are dynamic in nature. To characterize the change in the entire course of high-dimensional data collection, we propose a unified framework to directly estimate dynamic eigenvectors of covariance matrices. Specifically, we formulate an optimization problem by combining the local linear smoothing and regularization penalty together with the orthogonality constraint, which can be effectively solved by manifold optimization algorithms. We show that our method is suitable for high-dimensional data observed under both common and irregular designs, and theoretical properties of the estimators are investigated under sparsity. Extensive experiments demonstrate the effectiveness of the proposed method in both simulated and real data examples.
Cites work
- A Direct Formulation for Sparse PCA Using Semidefinite Programming
- A penalized matrix decomposition, with applications to sparse principal components and canonical correlation analysis
- Asymptotic Theory for Principal Component Analysis
- Covariance regularization by thresholding
- Do semidefinite relaxations solve sparse PCA up to the information limit?
- From sparse to dense functional data and beyond
- Functional Data Analysis for Sparse Longitudinal Data
- Functional data analysis.
- Functional linear regression analysis for longitudinal data
- High-dimensional analysis of semidefinite relaxations for sparse principal components
- scientific article; zbMATH DE number 991833 (Why is no real title available?)
- scientific article; zbMATH DE number 469335 (Why is no real title available?)
- Intrinsic regression models for positive-definite matrices with applications to diffusion tensor imaging
- Local polynomial regression for symmetric positive definite matrices
- Localized Functional Principal Component Analysis
- Minimax estimation of large covariance matrices under _1-norm
- Minimax sparse principal subspace estimation in high dimensions
- Multivariate functional principal component analysis: A normalization approach
- Nonparametric covariance model
- On consistency and sparsity for principal components analysis in high dimensions
- Optimal estimation of the mean function based on discretely sampled functional data: phase transition
- Principal components for multivariate functional data
- Proximal gradient method for nonsmooth optimization over the Stiefel manifold
- Sparse principal component analysis and iterative thresholding
- Sparse principal component analysis via regularized low rank matrix approximation
Cited in
(5)- Dynamic principal component analysis from a global perspective
- Dynamic Supervised Principal Component Analysis for Classification
- Robust and sparse pca for high-dimensional data via Huber loss and non-convex regularization
- An Adaptive Adjustment to the R 2 Statistic in High-Dimensional Elliptical Models
- Prediction of Cognitive Function via Brain Region Volumes with Applications to Alzheimer’s Disease Based on Space-Factor-Guided Functional Principal Component Analysis
This page was built for publication: Dynamic Principal Component Analysis in High Dimensions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6153994)
