Related papers: A QR Decomposition Approach to Factor Modelling: A…
Motivated by Tucker tensor decomposition, this paper imposes low-rank structures to the column and row spaces of coefficient matrices in a multivariate infinite-order vector autoregression (VAR), which leads to a supervised factor model…
We consider the problem of estimating the covariance matrix of a random signal observed through unknown translations (modeled by cyclic shifts) and corrupted by noise. Solving this problem allows to discover low-rank structures masked by…
Penalized quantile regression (QR) is widely used for studying the relationship between a response variable and a set of predictors under data heterogeneity in high-dimensional settings. Compared to penalized least squares, scalable…
In dealing with high-dimensional data sets, factor models are often useful for dimension reduction. The estimation of factor models has been actively studied in various fields. In the first part of this paper, we present a new approach to…
Given a matrix $A$ of size $m\times n$, the manuscript describes a algorithm for computing a QR factorization $AP=QR$ where $P$ is a permutation matrix, $Q$ is orthonormal, and $R$ is upper triangular. The algorithm is blocked, to allow it…
I propose a way to use non-Euclidean norms to formulate a QR-like factorization which can unlock interesting and potentially useful properties of non-Euclidean norms - for example the ability of $l^1$ norm to suppresss outliers or promote…
Factorization of matrices where the rank of the two factors diverges linearly with their sizes has many applications in diverse areas such as unsupervised representation learning, dictionary learning or sparse coding. We consider a setting…
Tensor train (TT) decomposition, a powerful tool for analyzing multidimensional data, exhibits superior performance in many machine learning tasks. However, existing methods for TT decomposition either suffer from noise overfitting, or…
The objective function of a matrix factorization model usually aims to minimize the average of a regression error contributed by each element. However, given the existence of stochastic noises, the implicit deviations of sample data from…
We present Flip-Flop Spectrum-Revealing QR (Flip-Flop SRQR) factorization, a significantly faster and more reliable variant of the QLP factorization of Stewart, for low-rank matrix approximations. Flip-Flop SRQR uses SRQR factorization to…
We consider LU and QR matrix decompositions using exact computations. We show that fraction-free Gauss--Bareiss reduction leads to triangular matrices having a non-trivial number of common row factors. We identify two types of common…
In this work, we consider rank-one adaptations $X_{new} = X+ab^T$ of a given matrix $X\in \mathbb{R}^{n\times p}$ with known matrix factorization $X = UW$, where $U\in\mathbb{R}^{n\times p}$ is column-orthogonal, i.e. $U^TU=I$. Arguably the…
We investigate the coefficients generated by expressing the falling factorial $(xy)_k$ as a linear combination of falling factorial products $(x)_l (y)_m$ for $l,m =1,...,k$. Algebraic and combinatoric properties of these coefficients are…
In this paper, we set up the theoretical foundations for a high-dimensional functional factor model approach in the analysis of large cross-sections (panels) of functional time series (FTS). We first establish a representation result…
We study algorithms called rank-revealers that reveal a matrix's rank structure. Such algorithms form a fundamental component in matrix compression, singular value estimation, and column subset selection problems. While column-pivoted QR…
Quantum computing promises exponential speedups for certain problems, yet fully universal quantum computers remain out of reach and near-term devices are inherently noisy. Motivated by this, we study noisy quantum algorithms and the…
The density estimation is one of the core problems in statistics. Despite this, existing techniques like maximum likelihood estimation are computationally inefficient due to the intractability of the normalizing constant. For this reason an…
This paper deals with the factor modeling for high-dimensional time series based on a dimension-reduction viewpoint. Under stationary settings, the inference is simple in the sense that both the number of factors and the factor loadings are…
Matrix decomposition is a very important mathematical tool in numerical linear algebra for data processing. In this paper, we introduce a new randomized matrix decomposition algorithm, which is called randomized approximate SVD based on…
The development of randomized algorithms for numerical linear algebra, e.g. for computing approximate QR and SVD factorizations, has recently become an intense area of research. This paper studies one of the most frequently discussed…