2 research outputs found
High-dimensional Interactions Detection with Sparse Principal Hessian Matrix
In statistical learning framework with regressions, interactions are the
contributions to the response variable from the products of the explanatory
variables. In high-dimensional problems, detecting interactions is challenging
due to combinatorial complexity and limited data information. We consider
detecting interactions by exploring their connections with the principal
Hessian matrix. Specifically, we propose a one-step synthetic approach for
estimating the principal Hessian matrix by a penalized M-estimator. An
alternating direction method of multipliers (ADMM) is proposed to efficiently
solve the encountered regularized optimization problem. Based on the sparse
estimator, we detect the interactions by identifying its nonzero components.
Our method directly targets at the interactions, and it requires no structural
assumption on the hierarchy of the interaction effects. We show that our
estimator is theoretically valid, computationally efficient, and practically
useful for detecting the interactions in a broad spectrum of scenarios.Comment: 25 page
Generalized Liquid Association Analysis for Multimodal Data Integration
Multimodal data are now prevailing in scientific research. A central question
in multimodal integrative analysis is to understand how two data modalities
associate and interact with each other given another modality or demographic
covariates. The problem can be formulated as studying the associations among
three sets of random variables, a question that has received relatively less
attention in the literature. In this article, we propose a novel generalized
liquid association analysis method, which offers a new and unique angle to this
important class of problem of studying three-way associations. We extend the
notion of liquid association of Li (2002) from the univariate setting to the
multivariate and high-dimensional setting. We establish a population dimension
reduction model, transform the problem to sparse Tucker decomposition of a
three-way tensor, and develop a higher-order singular value decomposition
estimation algorithm. We derive the non-asymptotic error bound and asymptotic
consistency of the proposed estimator, while allowing the variable dimensions
to be larger than and diverge with the sample size. We demonstrate the efficacy
of the method through both simulations and a multimodal neuroimaging
application for Alzheimer's disease research