Related papers: Covariance Estimation for Matrix-variate Data via …
Most high-dimensional matrix recovery problems are studied under the assumption that the target matrix has certain intrinsic structures. For image data related matrix recovery problems, approximate low-rankness and smoothness are the two…
This paper revisits the problem of decomposing a positive semidefinite matrix as a sum of a matrix with a given rank plus a sparse matrix. An immediate application can be found in portfolio optimization, when the matrix to be decomposed is…
This paper introduces a new metric and mean on the set of positive semidefinite matrices of fixed-rank. The proposed metric is derived from a well-chosen Riemannian quotient geometry that generalizes the reductive geometry of the positive…
We present a new straightforward principal component analysis (PCA) method based on the diagonalization of the weighted variance-covariance matrix through two spectral decomposition methods: power iteration and Rayleigh quotient iteration.…
After reviewing a large body of literature on the modeling of bivariate discrete distributions with finite support, \cite{Gee20} made a compelling case for the use of $I$-projections in the sense of \cite{Csi75} as a sound way to attempt to…
Robust principal component analysis (RPCA) is a widely used technique for recovering low-rank structure from matrices with missing entries and sparse, possibly large-magnitude corruptions. Although numerous algorithms achieve accurate point…
We introduce the manifold of {\it restricted} $n\times n$ positive semidefinite matrices of fixed rank $p$, denoted $S(n,p)^{*}$. The manifold itself is an open and dense submanifold of $S(n,p)$, the manifold of $n\times n$ positive…
Kronecker PCA involves the use of a space vs. time Kronecker product decomposition to estimate spatio-temporal covariances. In this work the addition of a sparse correction factor is considered, which corresponds to a model of the…
We study several variants of decomposing a symmetric matrix into a sum of a low-rank positive semidefinite matrix and a diagonal matrix. Such decompositions have applications in factor analysis and they have been studied for many decades.…
Matrix factor model has been growing popular in scientific fields such as econometrics, which serves as a two-way dimension reduction tool for matrix sequences. In this article, we for the first time propose the matrix elliptical factor…
Motivated by graphical models, we consider the "Sparse Plus Low-rank" decomposition of a positive definite concentration matrix -- the inverse of the covariance matrix. This is a classical problem for which a rich theory and numerical…
We prove that any compact surface with constant positive curvature and conical singularities can be decomposed into irreducible components of standard shape, glued along geodesic arcs connecting conical singularities. This is a spherical…
A novel method is proposed for detecting changes in the covariance structure of moderate dimensional time series. This non-linear test statistic has a number of useful properties. Most importantly, it is independent of the underlying…
Structure learning methods for covariance and concentration graphs are often validated on synthetic models, usually obtained by randomly generating: (i) an undirected graph, and (ii) a compatible symmetric positive definite (SPD) matrix. In…
Analyzing principal components for multivariate data from its spatial sign covariance matrix (SCM) has been proposed as a computationally simple and robust alternative to normal PCA, but it suffers from poor efficiency properties and is…
We propose a stable version of Principal Component Analysis (PCA) in the general framework of a separable Hilbert space. It consists in interpreting the projection on the first eigenvectors as a step function applied to the spectrum of the…
Principal component analysis (PCA) is a dimensionality reduction method in data analysis that involves diagonalizing the covariance matrix of the dataset. Recently, quantum algorithms have been formulated for PCA based on diagonalizing a…
A new framework is developed to intrinsically analyze sparsely observed Riemannian functional data. It features four innovative components: a frame-independent covariance function, a smooth vector bundle termed covariance vector bundle, a…
Tensor decompositions are a fundamental tool in scientific computing and data analysis. In many applications -- such as simulation data on irregular grids, surrogate modeling for parameterized PDEs, or spectroscopic measurements -- the data…
Persistent homology, while ostensibly measuring changes in topology, captures multiscale geometrical information. It is a natural tool for the analysis of point patterns. In this paper we explore the statistical power of the (persistent…