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2020 Sparse equisigned PCA: Algorithms and performance bounds in the noisy rank-1 setting
Arvind Prasadan, Raj Rao Nadakuditi, Debashis Paul
Electron. J. Statist. 14(1): 345-385 (2020). DOI: 10.1214/19-EJS1657

Abstract

Singular value decomposition (SVD) based principal component analysis (PCA) breaks down in the high-dimensional and limited sample size regime below a certain critical eigen-SNR that depends on the dimensionality of the system and the number of samples. Below this critical eigen-SNR, the estimates returned by the SVD are asymptotically uncorrelated with the latent principal components. We consider a setting where the left singular vector of the underlying rank one signal matrix is assumed to be sparse and the right singular vector is assumed to be equisigned, that is, having either only nonnegative or only nonpositive entries. We consider six different algorithms for estimating the sparse principal component based on different statistical criteria and prove that by exploiting sparsity, we recover consistent estimates in the low eigen-SNR regime where the SVD fails. Our analysis reveals conditions under which a coordinate selection scheme based on a sum-type decision statistic outperforms schemes that utilize the $\ell _{1}$ and $\ell _{2}$ norm-based statistics. We derive lower bounds on the size of detectable coordinates of the principal left singular vector and utilize these lower bounds to derive lower bounds on the worst-case risk. Finally, we verify our findings with numerical simulations and a illustrate the performance with a video data where the interest is in identifying objects.

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Arvind Prasadan. Raj Rao Nadakuditi. Debashis Paul. "Sparse equisigned PCA: Algorithms and performance bounds in the noisy rank-1 setting." Electron. J. Statist. 14 (1) 345 - 385, 2020. https://doi.org/10.1214/19-EJS1657

Information

Received: 1 May 2019; Published: 2020
First available in Project Euclid: 15 January 2020

zbMATH: 1429.65091
MathSciNet: MR4052370
Digital Object Identifier: 10.1214/19-EJS1657

Subjects:
Primary: 62H15 , 62H25 , 65F50
Secondary: 15A18‎ , 60G35 , 62F03

Keywords: FDR , random matrices , sparse PCA , sparsistency

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Vol.14 • No. 1 • 2020
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