244
Views
0
CrossRef citations to date
0
Altmetric
Research Article

Distributed Learning for Principal Eigenspaces without Moment Constraints

ORCID Icon, &
Received 29 Apr 2022, Accepted 11 Mar 2024, Published online: 24 May 2024

References

  • Alimisis, F., Davies, P., and Alistarh, D. (2021), “Communication-Efficient Distributed Optimization with Quantized Preconditioners,” in Proceedings of the 38th International Conference on Machine Learning, Volume 139 of Proceedings of Machine Learning Research, PMLR, pp. 196–206.
  • Alimisis, F., Davies, P., Vandereycken, B., and Alistarh, D. (2021), “Distributed Principal Component Analysis with Limited Communication,” in Advances in Neural Information Processing Systems (Vol. 34), Curran Associates, Inc., pp. 2823–2834.
  • Anderson, T. W. (1963), “Asymptotic Theory for Principal Component Analysis,” The Annals of Mathematical Statistics, 34, 122–148. DOI: 10.1214/aoms/1177704248.
  • Bai, Z., Choi, K. P., and Fujikoshi, Y. (2018), “Consistency of AIC and BIC in Estimating the Number of Significant Components in High-Dimensional Principal Component Analysis,” The Annals of Statistics, 46, 1050–1076. DOI: 10.1214/17-AOS1577.
  • Bao, Z., Ding, X., Wang, J., and Wang, K. (2022), “Statistical Inference for Principal Components of Spiked Covariance Matrices,” The Annals of Statistics, 50, 1144–1169. DOI: 10.1214/21-AOS2143.
  • Bertrand, A., and Moonen, M. (2014), “Distributed Adaptive Estimation of Covariance Matrix Eigenvectors in Wireless Sensor Networks with Application to Distributed PCA,” Signal Processing, 104, 120–135. DOI: 10.1016/j.sigpro.2014.03.037.
  • Birnbaum, A., Johnstone, I. M., Nadler, B., and Paul, D. (2013), “Minimax Bounds for Sparse PCA with Noisy High-Dimensional Data,” Annals of Statistics, 41, 1055. DOI: 10.1214/12-AOS1014.
  • Cai, T. T., and Wei, H. (2022a), “Distributed Adaptive Gaussian Mean Estimation with Unknown Variance: Interactive Protocol Helps Adaptation,” The Annals of Statistics, 50, 1992–2020. DOI: 10.1214/21-AOS2167.
  • Cai, T. T., and Wei, H. (2022b), “Distributed Nonparametric Function Estimation: Optimal Rate of Convergence and Cost of Adaptation,” The Annals of Statistics, 50, 698–725.
  • Chen, X., Zhang, J., and Zhou, W. (2021), “High-Dimensional Elliptical Sliced Inverse Regression in Non-Gaussian Distributions,” Journal of Business & Economic Statistics, 40, 1204–1215. DOI: 10.1080/07350015.2021.1910041.
  • Choi, K., and Marden, J. (1998), “A Multivariate Version of Kendall’s τ,” Journal of Nonparametric Statistics, 9, 261–293. DOI: 10.1080/10485259808832746.
  • Davies, P., Gurunanthan, V., Moshrefi, N., Ashkboos, S., and Alistarh, D. (2021), “New Bounds for Distributed Mean Estimation and Variance Reduction,” in International Conference on Learning Representations.
  • Davies, P., Gurunathan, V., Moshrefi, N., Ashkboos, S., and Alistarh, D. (2020), “New Bounds for Distributed Mean Estimation and Variance Reduction,” arXiv preprint arXiv:2002.09268.
  • Fan, J., Guo, Y., and Wang, K. (2021), “Communication-Efficient Accurate Statistical Estimation,” Journal of the American Statistical Association, 118, 1000–1010. DOI: 10.1080/01621459.2021.1969238.
  • Fan, J., Liu, H., and Wang, W. (2018), “Large Covariance Estimation through Elliptical Factor Models,” Annals of Statistics, 46, 1383–1414.
  • Fan, J., Wang, D., Wang, K., and Zhu, Z. (2019), “Distributed Estimation of Principal Eigenspaces,” Annals of Statistics, 47, 3009–3031.
  • Feng, L., and Liu, B. (2017), “High-Dimensional Rank Tests for Sphericity,” Journal of Multivariate Analysis, 155, 217–233. DOI: 10.1016/j.jmva.2017.01.003.
  • Fonseca, R., and Nadler, B. (2023), “Distributed Sparse Linear Regression Under Communication Constraints.”
  • Hallin, M., Paindaveine, D., and Verdebout, T. (2010), “Optimal Rank-based Testing for Principal Components,” The Annals of Statistics, 38, 3245–3299. DOI: 10.1214/10-AOS810.
  • Hallin, M., Paindaveine, D., and Verdebout, T. (2014), “Efficient r-estimation of Principal and Common Principal Components,” Journal of the American Statistical Association, 109, 1071–1083. DOI: 10.1080/01621459.2014.880057.
  • Han, F., and Liu, H. (2014), “Scale-Invariant Sparse PCA on High-Dimensional Meta-Elliptical Data,” Journal of the American Statistical Association, 109, 275–287. DOI: 10.1080/01621459.2013.844699.
  • Han, F., and Liu, H. (2018), “Eca: High-Dimensional Elliptical Component Analysis in Non-Gaussian Distributions,” Journal of the American Statistical Association, 113, 252–268. DOI: 10.1080/01621459.2016.1246366.
  • He, Y., Kong, X., Yu, L., and Zhang, X. (2022), “Large-Dimensional Factor Analysis Without Moment Constraints,” Journal of Business & Economic Statistics, 40, 302–312. DOI: 10.1080/07350015.2020.1811101.
  • Hu, J., Li, W., Liu, Z., and Zhou, W. (2019), “High-Dimensional Covariance Matrices in Elliptical Distributions with Application to Spherical Test,” The Annals of Statistics, 47, 527–555. DOI: 10.1214/18-AOS1699.
  • Hult, H., and Lindskog, F. (2002), “Multivariate Extremes, Aggregation and Dependence in Elliptical Distributions,” Advances in Applied Probability, 34, 587–608. DOI: 10.1239/aap/1033662167.
  • Jing, B.-Y., Kong, X.-B., and Liu, Z. (2012), “Modeling High-Frequency Financial Data by Pure Jump Processes,” The Annals of Statistics, 40, 759–784. DOI: 10.1214/12-AOS977.
  • Jordan, M. I., Lee, J. D., and Yang, Y. (2018), “Communication-Efficient Distributed Statistical Inference,” Journal of the American Statistical Association, 114, 668–681. DOI: 10.1080/01621459.2018.1429274.
  • Kong, X.-B., Lin, J.-G., Liu, C., and Liu, G.-Y. (2021), “Discrepancy between Global and Local Principal Component Analysis on Large-Panel High-Frequency Data,” Journal of the American Statistical Association, 118, 1333–1344. DOI: 10.1080/01621459.2021.1996376.
  • Kong, X.-B., Liu, Z., and Jing, B.-Y. (2015), “Testing for Pure-Jump Processes for High-Frequency Data,” The Annals of Statistics, 43, 847–877. DOI: 10.1214/14-AOS1298.
  • Li, L., Scaglione, A., and Manton, J. H. (2011), “Distributed Principal Subspace Estimation in Wireless Sensor Networks,” IEEE Journal of Selected Topics in Signal Processing, 5, 725–738. DOI: 10.1109/JSTSP.2011.2118742.
  • Li, Z., He, Y., Kong, X., and Zhang, X. (2022), “Manifold Principle Component Analysis for Large-Dimensional Matrix Elliptical Factor Model,” arXiv preprint arXiv:2203.14063.
  • Onatski, A. (2012), “Asymptotics of the Principal Components Estimator of Large Factor Models with Weakly Influential Factors,” Journal of Econometrics, 168, 244–258. DOI: 10.1016/j.jeconom.2012.01.034.
  • Qu, Y., Ostrouchov, G., Samatova, N., and Geist, A. (2002), “Principal Component Analysis for Dimension Reduction in Massive Distributed Data Sets,” in Proceedings of IEEE International Conference on Data Mining (ICDM) (Vol. 1318), p. 1788.
  • Schizas, I. D., and Aduroja, A. (2015), “A Distributed Framework for Dimensionality Reduction and Denoising,” IEEE Transactions on Signal Processing, 63, 6379–6394. DOI: 10.1109/TSP.2015.2465300.
  • Shen, D., Shen, H., Zhu, H., and Marron, J. (2016), “The Statistics and Mathematics of High Dimension Low Sample Size Asymptotics,” Statistica Sinica, 26, 1747–1770. DOI: 10.5705/ss.202015.0088.
  • Stock, J. H., and Watson, M. W. (2002), “Macroeconomic Forecasting Using Diffusion Indexes,” Journal of Business & Economic Statistics, 20, 147–162. DOI: 10.1198/073500102317351921.
  • Szabó, B., Vuursteen, L., and van Zanten, H. (2022), “Optimal High-Dimensional and Nonparametric Distributed Testing under Communication Constraints,” arXiv preprint arXiv:2202.00968.
  • Taskinen, S., Koch, I., and Oja, H. (2012), “Robustifying Principal Component Analysis with Spatial Sign Vectors,” Statistics & Probability Letters, 82, 765–774. DOI: 10.1016/j.spl.2012.01.001.
  • Visuri, S., Koivunen, V., and Oja, H. (2000), “Sign and Rank Covariance Matrices,” Journal of Statistical Planning and Inference, 91, 557–575. DOI: 10.1016/S0378-3758(00)00199-3.
  • Wang, W., and Fan, J. (2017), “Asymptotics of Empirical Eigenstructure for High Dimensional Spiked Covariance,” Annals of Statistics, 45, 1342–1374.
  • Wang, W., and Fan, J. (2017b), “Asymptotics of Empirical Eigenstructure for High Dimensional Spiked Covariance,” Annals of statistics, 45, 1342.
  • Yu, L., He, Y., and Zhang, X. (2019), “Robust Factor Number Specification for Large-Dimensional Elliptical Factor Model,” Journal of Multivariate analysis, 174, 104543. DOI: 10.1016/j.jmva.2019.104543.
  • Zhang, Y., Wainwright, M. J., and Duchi, J. C. (2012), “Communication-Efficient Algorithms for Statistical Optimization,” in Advances in Neural Information Processing Systems (Vol. 25).

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.