Sparse CCA: Adaptive Estimation and Computational Barriers

Canonical correlation analysis is a classical technique for exploring the relationship between two sets of variables. It has important applications in analyzing high dimensional datasets originated from genomics, imaging and other fields. This paper considers adaptive minimax and computationally tractable estimation of leading sparse canonical coefficient vectors in high dimensions. First, we establish separate minimax estimation rates for canonical coefficient vectors of each set of random variables under no structural assumption on marginal covariance matrices. Second, we propose a computationally feasible estimator to attain the optimal rates adaptively under an additional sample size condition. Finally, we show that a sample size condition of this kind is needed for any randomized polynomial-time estimator to be consistent, assuming hardness of certain instances of the Planted Clique detection problem. The result is faithful to the Gaussian models used in the paper. As a byproduct, we obtain the first computational lower bounds for sparse PCA under the Gaussian single spiked covariance model

Sparse PCA: Optimal rates and adaptive estimation

Principal component analysis (PCA) is one of the most commonly used statistical procedures with a wide range of applications. This paper considers both minimax and adaptive estimation of the principal subspace in the high dimensional setting. Under mild technical conditions, we first establish the optimal rates of convergence for estimating the principal subspace which are sharp with respect to all the parameters, thus providing a complete characterization of the difficulty of the estimation problem in term of the convergence rate. The lower bound is obtained by calculating the local metric entropy and an application of Fano's lemma. The rate optimal estimator is constructed using aggregation, which, however, might not be computationally feasible. We then introduce an adaptive procedure for estimating the principal subspace which is fully data driven and can be computed efficiently. It is shown that the estimator attains the optimal rates of convergence simultaneously over a large collection of the parameter spaces. A key idea in our construction is a reduction scheme which reduces the sparse PCA problem to a high-dimensional multivariate regression problem. This method is potentially also useful for other related problems.Comment: Published in at http://dx.doi.org/10.1214/13-AOS1178 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

Minimax bounds for sparse PCA with noisy high-dimensional data

We study the problem of estimating the leading eigenvectors of a high-dimensional population covariance matrix based on independent Gaussian observations. We establish a lower bound on the minimax risk of estimators under the $l_2$ loss, in the joint limit as dimension and sample size increase to infinity, under various models of sparsity for the population eigenvectors. The lower bound on the risk points to the existence of different regimes of sparsity of the eigenvectors. We also propose a new method for estimating the eigenvectors by a two-stage coordinate selection scheme.Comment: 1 figur

Optimal Estimation and Rank Detection for Sparse Spiked Covariance Matrices

This paper considers sparse spiked covariance matrix models in the high-dimensional setting and studies the minimax estimation of the covariance matrix and the principal subspace as well as the minimax rank detection. The optimal rate of convergence for estimating the spiked covariance matrix under the spectral norm is established, which requires significantly different techniques from those for estimating other structured covariance matrices such as bandable or sparse covariance matrices. We also establish the minimax rate under the spectral norm for estimating the principal subspace, the primary object of interest in principal component analysis. In addition, the optimal rate for the rank detection boundary is obtained. This result also resolves the gap in a recent paper by Berthet and Rigollet [1] where the special case of rank one is considered