相关论文: When it counts -- Econometric identification of th…

The matrix factor model has drawn growing attention for its advantage in achieving two-directional dimension reduction simultaneously for matrix-structured observations. In this paper, we propose a simple iterative least squares algorithm…

A simple generative model for rank ordered data with ties is presented. The model is based on ordering geometric latent variables and can be seen as the discrete counterpart of the Plackett-Luce (PL) model, a popular, relatively tractable…

A factor model with a break in its factor loadings is observationally equivalent to a model without changes in the loadings but a change in the variance of its factors. This effectively transforms a structural change problem of high…

This article investigates uncertainty quantification of the generalized linear lasso~(GLL), a popular variable selection method in high-dimensional regression settings. In many fields of study, researchers use data-driven methods to select…

We consider the problem of sparse estimation via a lasso-type penalized likelihood procedure in a factor analysis model. Typically, the model estimation is done under the assumption that the common factors are orthogonal (uncorrelated).…

Linear system identification and sparse dictionary learning can both be seen as structured matrix factorization problems. However, these two problems have historically been studied in isolation by the systems theory and machine learning…

Factor analysis aims to determine latent factors, or traits, which summarize a given data set. Inter-battery factor analysis extends this notion to multiple views of the data. In this paper we show how a nonlinear, nonparametric version of…

We consider the problem of estimating high-dimensional covariance matrices of a particular structure, which is a summation of low rank and sparse matrices. This covariance structure has a wide range of applications including factor analysis…

This paper proposes new estimators of the number of factors for a generalised factor model with more relaxed assumptions than the strict factor model. Under the framework of large cross-sections $N$ and large time dimensions $T$, we first…

Consider a two-class classification problem where the number of features is much larger than the sample size. The features are masked by Gaussian noise with mean zero and covariance matrix $\Sigma$, where the precision matrix…

Estimates of the approximate factor model are increasingly used in empirical work. Their theoretical properties, studied some twenty years ago, also laid the ground work for analysis on large dimensional panel data models with cross-section…

Factor models are widely used to reduce dimensionality in modeling high-dimensional data. However, there remains a need for models that can be reliably fit in modest sample sizes and are identifiable, interpretable, and flexible. To address…

Finding an unconstrained and statistically interpretable reparameterization of a covariance matrix is still an open problem in statistics. Its solution is of central importance in covariance estimation, particularly in the recent…

High-dimensional data often exhibit variation that can be captured by lower dimensional factors. For high-dimensional data from multiple studies or environments, one goal is to understand which underlying factors are common to all studies,…

One important problem in genome science is to determine sets of co-regulated genes based on measurements of gene expression levels across samples, where the quantification of expression levels includes substantial technical and biological…

Latent factor model estimation typically relies on either using domain knowledge to manually pick several observed covariates as factor proxies, or purely conducting multivariate analysis such as principal component analysis. However, the…

Non-negative matrix factorization is a basic tool for decomposing data into the feature and weight matrices under non-negativity constraints, and in practice is often solved in the alternating minimization framework. However, it is unclear…

Nearly all identifiability results in unsupervised representation learning inspired by, e.g., independent component analysis, factor analysis, and causal representation learning, rely on assumptions of additive independent noise or…

Finite Gaussian mixture models are widely used for model-based clustering of continuous data. Nevertheless, since the number of model parameters scales quadratically with the number of variables, these models can be easily…

Latent or unobserved phenomena pose a significant difficulty in data analysis as they induce complicated and confounding dependencies among a collection of observed variables. Factor analysis is a prominent multivariate statistical modeling…