A Generalized Least-Square Matrix Decomposition

Genevera I. Allen, Logan Grosenick, Jonathan Taylor
2014 Journal of the American Statistical Association  
Variables in many big-data settings are structured, arising for example from measurements on a regular grid as in imaging and time series or from spatial-temporal measurements as in climate studies. Classical multivariate techniques ignore these structural relationships often resulting in poor performance. We propose a generalization of principal components analysis (PCA) that is appropriate for massive data sets with structured variables or known two-way dependencies. By finding the best low
more » ... nk approximation of the data with respect to a transposable quadratic norm, our decomposition, entitled the Generalized least squares Matrix Decomposition (GMD), directly accounts for structural relationships. As many variables in high-dimensional settings are often irrelevant, we also regularize our matrix decomposition by adding two-way penalties to encourage sparsity or smoothness. We develop fast computational algorithms using our methods to perform generalized PCA (GPCA), sparse GPCA, and functional GPCA on massive data sets. Through simulations and a whole brain functional MRI example we demonstrate the utility of our methodology for dimension reduction, signal recovery, and feature selection with highdimensional structured data.
doi:10.1080/01621459.2013.852978 fatcat:zptndokklzh33pnkunpqkcnqxu