Discussion of “Influential feature PCA for high dimensional clustering”
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对《高维聚类中的重要特征主成分分析》的讨论AI 解读 ↓
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We would like to congratulate the authors for an interesting paper and a novel proposal for clustering high-dimensional Gaussian mixtures with a diagonal covariance matrix.The proposed two-stage procedure first selects features based on the Kolmogorov-Smirnov statistics and then applies a spectral clustering method to the post-selected data.A rigorous theoretical analysis for the clustering error is given and the results are supported by a competitive performance in numerical studies.The following discussion is divided into two parts.We will discuss a clustering method based on the sparse principal component analysis (SPCA) method proposed in [5] under mild conditions and compare it with the proposed IF-PCA method.We then discuss the dependent case where the covariance matrix is not necessarily diagonal.To be consistent, we will follow the same notation used in the present paper.
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高维近似因子时间序列模型的主成分分析:假设、渐近理论与识别
We consider estimation of large approximate factor models in high-dimensional panels of stationary time series using Principal Component Analysis (PCA). We review the key results establishing the necessary and sufficient conditions for consistency and asymptotic normality of the estimators, which hold when both the cross-sectional dimension $n$ and the sample size $T$ tend to infinity. Special emphasis is placed on identification. First, we show that the common and…
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高维矩阵时间序列均值与协方差的多重变点检测
This paper studies simultaneous change point detection in the first- and second-order structures of high-dimensional matrix-valued time series. Specifically, we extend the framework of main effect factor models to accommodate multiple change points so that shifts in the mean and covariance structures are characterized by changes in the trend-stationary main effects main effects and in the factor-driven common components, respectively. Under this framework, the two types of…
相关任务间的经验贝叶斯谱部分汇聚
Spectral methods are central to high-dimensional statistics and machine learning, underlying procedures for covariance estimation, matrix denoising, representation learning, clustering, and latent variable modeling. In this work, we focus primarily on spectral estimators for high-dimensional factor models, where leading singular vectors of the data matrix are used to estimate latent structure and covariance parameters. In many modern applications, however, data are collected…