English

Reducing Subspace Models for Large-Scale Covariance Regression

Methodology 2020-10-02 v1

Abstract

We develop an envelope model for joint mean and covariance regression in the large pp, small nn setting. In contrast to existing envelope methods, which improve mean estimates by incorporating estimates of the covariance structure, we focus on identifying covariance heterogeneity by incorporating information about mean-level differences. We use a Monte Carlo EM algorithm to identify a low-dimensional subspace which explains differences in both means and covariances as a function of covariates, and then use MCMC to estimate the posterior uncertainty conditional on the inferred low-dimensional subspace. We demonstrate the utility of our model on a motivating application on the metabolomics of aging. We also provide R code which can be used to develop and test other generalizations of the response envelope model.

Keywords

Cite

@article{arxiv.2010.00503,
  title  = {Reducing Subspace Models for Large-Scale Covariance Regression},
  author = {Alexander Franks},
  journal= {arXiv preprint arXiv:2010.00503},
  year   = {2020}
}
R2 v1 2026-06-23T18:56:27.322Z