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Principal Component Analysis (PCA) is a standard dimensionality reduction technique, but it treats all samples uniformly, making it suboptimal for heterogeneous data that are increasingly common in modern settings. This paper proposes a PCA variant for samples with heterogeneous noise levels, i.e., heteroscedastic noise, that naturally arise when some of the data come from higher quality sources than others. The technique handles heteroscedasticity by incorporating it in the statistical model of a probabilistic PCA. The resulting optimization problem is an interesting nonconvex problem related to but not seemingly solved by singular value decomposition, and this paper derives an expectation maximization (EM) algorithm. Numerical experiments illustrate the benefits of using the proposed method to combine samples with heteroscedastic noise in a single analysis, as well as benefits of careful initialization for the EM algorithm. Index Terms— Principal component analysis, heterogeneous data, maximum likelihood estimation, latent factors
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Empirical Bayes PCA in High Dimensions
Abstract When the dimension of data is comparable to or larger than the number of data samples, principal components analysis (PCA) may exhibit problematic high-dimensional noise. In this work, we propose an empirical Bayes PCA method that reduces this noise by estimating a joint prior distribution for the principal components. EB-PCA is based on the classical Kiefer–Wolfowitz non-parametric maximum likelihood estimator for empirical Bayes estimation, distributional results derived from random matrix theory for the sample PCs and iterative refinement using an approximate message passing (AMP) algorithm. In theoretical ‘spiked’ models, EB-PCA achieves Bayes-optimal estimation accuracy in the same settings as an oracle Bayes AMP procedure that knows the true priors. Empirically, EB-PCA significantly improves over PCA when there is strong prior structure, both in simulation and on quantitative benchmarks constructed from the 1000 Genomes Project and the International HapMap Project. An illustration is presented for analysis of gene expression data obtained by single-cell RNA-seq.
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- Award ID(s):
- 1916198
- PAR ID:
- 10398633
- Publisher / Repository:
- Oxford University Press
- Date Published:
- Journal Name:
- Journal of the Royal Statistical Society Series B: Statistical Methodology
- Volume:
- 84
- Issue:
- 3
- ISSN:
- 1369-7412
- Format(s):
- Medium: X Size: p. 853-878
- Size(s):
- p. 853-878
- Sponsoring Org:
- National Science Foundation
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