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  1. Solving Rank Constrained Least Squares via Recursive Importance Sketching

    In statistics and machine learning, we sometimes run into the rank-constrained least squares problems, for which we need to find the best low-rank fit between sets of data, such as trying to figure out what factors are affecting the data, filling in missing information, or finding connections between different sets of data. This paper introduces a new method for solving this problem called the recursive importance sketching algorithm (RISRO), in which the central idea is to break the problem down into smaller, easier parts using a unique technique called “recursive importance sketching.” This new method is not only easy to use, but it is also very efficient and gives accurate results. We prove that RISRO converges in a local quadratic-linear and quadratic rate under some mild conditions. Simulation studies also demonstrate the superior performance of RISRO.

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    Free, publicly-accessible full text available January 1, 2025
  2. Abstract

    A separable covariance model can describe the among-row and among-column correlations of a random matrix and permits likelihood-based inference with a very small sample size. However, if the assumption of separability is not met, data analysis with a separable model may misrepresent important dependence patterns in the data. As a compromise between separable and unstructured covariance estimation, we decompose a covariance matrix into a separable component and a complementary ‘core’ covariance matrix. This decomposition defines a new covariance matrix decomposition that makes use of the parsimony and interpretability of a separable covariance model, yet fully describes covariance matrices that are non-separable. This decomposition motivates a new type of shrinkage estimator, obtained by appropriately shrinking the core of the sample covariance matrix, that adapts to the degree of separability of the population covariance matrix.

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    Free, publicly-accessible full text available July 20, 2024
  3. Free, publicly-accessible full text available July 1, 2024
  4. Abstract High-order clustering aims to identify heterogeneous substructures in multiway datasets that arise commonly in neuroimaging, genomics, social network studies, etc. The non-convex and discontinuous nature of this problem pose significant challenges in both statistics and computation. In this paper, we propose a tensor block model and the computationally efficient methods, high-order Lloyd algorithm (HLloyd), and high-order spectral clustering (HSC), for high-order clustering. The convergence guarantees and statistical optimality are established for the proposed procedure under a mild sub-Gaussian noise assumption. Under the Gaussian tensor block model, we completely characterise the statistical-computational trade-off for achieving high-order exact clustering based on three different signal-to-noise ratio regimes. The analysis relies on new techniques of high-order spectral perturbation analysis and a ‘singular-value-gap-free’ error bound in tensor estimation, which are substantially different from the matrix spectral analyses in the literature. Finally, we show the merits of the proposed procedures via extensive experiments on both synthetic and real datasets. 
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