Selective factor extraction in high dimensions

DOI10.1093/BIOMET/ASW059MaRDI QIDQ5384446zbMATH OpenOpenAlexFDO

Authors Yiyuan She

Publication date 24 June 2019

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1403.6212

zbMATH Keywords

information criterionnonconvex optimizationoracle inequalityprincipal component analysisreduced rank regressionvariable screening

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Linear regression; mixed models (62J05) Applications of statistics to biology and medical sciences; meta analysis (62P10)

Abstract: This paper studies simultaneous feature selection and extraction in supervised and unsupervised learning. We propose and investigate selective reduced rank regression for constructing optimal explanatory factors from a parsimonious subset of input features. The proposed estimators enjoy sharp oracle inequalities, and with a predictive information criterion for model selection, they adapt to unknown sparsity by controlling both rank and row support of the coefficient matrix. A class of algorithms is developed that can accommodate various convex and nonconvex sparsity-inducing penalties, and can be used for rank-constrained variable screening in high-dimensional multivariate data. The paper also showcases applications in macroeconomics and computer vision to demonstrate how low-dimensional data structures can be effectively captured by joint variable selection and projection.

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Cited in

(24)

• LOL selection in high dimension
• Sparse supervised dimension reduction in high dimensional classification
• Robust regression with compositional covariates
• Recovery of simultaneous low rank and two-way sparse coefficient matrices, a nonconvex approach
• On Cross-Validation for Sparse Reduced Rank Regression
• High-dimensional factor model and its applications to statistical machine learning
• Dimension Reduction for Integrative Survival Analysis
• Bayesian sparse spiked covariance model with a continuous matrix shrinkage prior
• Universal Features for High-Dimensional Learning and Inference
• Sparse Reduced Rank Huber Regression in High Dimensions
• Mining the factor zoo: estimation of latent factor models with sufficient proxies
• Low-Rank Regression Models for Multiple Binary Responses and their Applications to Cancer Cell-Line Encyclopedia Data
• Stability Approach to Regularization Selection for Reduced-Rank Regression
• Bridging factor and sparse models
• Exactly Uncorrelated Sparse Principal Component Analysis
• D4R: doubly robust reduced rank regression in high dimension
• Spike and slab Bayesian sparse principal component analysis
• An efficient algorithm for Fantope-constrained sparse principal subspace estimation problem
• The statistical rate for support matrix machines under low rankness and row (column) sparsity
• Asymptotically faster estimation of high-dimensional additive models using subspace learning
• Simultaneous heterogeneity and reduced-rank learning for multivariate response regression
• Estimation of the error structure in multivariate response linear regression models
• Personalized federated learning on large-scale association networks
• Efficient and provable online reduced rank regression via online gradient descent

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