High-dimensional principal component analysis with heterogeneous missingness.

Autor: Zhu Z; Statistical Laboratory University of Cambridge Cambridge UK.; Department of Statistics University of Michigan Ann Arbor Michigan USA., Wang T; Statistical Laboratory University of Cambridge Cambridge UK.; Department of Statistics London School of Economics London UK., Samworth RJ; Statistical Laboratory University of Cambridge Cambridge UK.
Jazyk: angličtina
Zdroj: Journal of the Royal Statistical Society. Series B, Statistical methodology [J R Stat Soc Series B Stat Methodol] 2022 Nov; Vol. 84 (5), pp. 2000-2031. Date of Electronic Publication: 2022 Nov 20.
DOI: 10.1111/rssb.12550
Abstrakt: We study the problem of high-dimensional Principal Component Analysis (PCA) with missing observations. In a simple, homogeneous observation model, we show that an existing observed-proportion weighted (OPW) estimator of the leading principal components can (nearly) attain the minimax optimal rate of convergence, which exhibits an interesting phase transition. However, deeper investigation reveals that, particularly in more realistic settings where the observation probabilities are heterogeneous, the empirical performance of the OPW estimator can be unsatisfactory; moreover, in the noiseless case, it fails to provide exact recovery of the principal components. Our main contribution, then, is to introduce a new method, which we call primePCA, that is designed to cope with situations where observations may be missing in a heterogeneous manner. Starting from the OPW estimator, primePCA iteratively projects the observed entries of the data matrix onto the column space of our current estimate to impute the missing entries, and then updates our estimate by computing the leading right singular space of the imputed data matrix. We prove that the error of primePCA converges to zero at a geometric rate in the noiseless case, and when the signal strength is not too small. An important feature of our theoretical guarantees is that they depend on average, as opposed to worst-case, properties of the missingness mechanism. Our numerical studies on both simulated and real data reveal that primePCA exhibits very encouraging performance across a wide range of scenarios, including settings where the data are not Missing Completely At Random.
(© 2022 The Authors. Journal of the Royal Statistical Society: Series B (Statistical Methodology) published by John Wiley & Sons Ltd on behalf of Royal Statistical Society.)
Databáze: MEDLINE
Nepřihlášeným uživatelům se plný text nezobrazuje