Title: Heteroskedastic sparse PCA in high dimensions
Authors: Zhao Ren - University of Pittsburgh (United States) [presenting]
Abstract: Principal component analysis (PCA) is one of the most commonly used techniques for dimension reduction and feature extraction. Though it has been well-studied for high-dimensional sparse PCA, little is known when the noise is heteroskedastic, which turns out to be ubiquitous in many scenarios, like biological sequencing data and information network data. We propose an iterative algorithm for sparse PCA in the presence of heteroskedastic noise, which alternatively updates the estimates of the sparse eigenvectors using the power method with adaptive thresholding in one step, and imputes the diagonal values of the sample covariance matrix to reduce the estimation bias due to heteroskedasticity in the other step. Our procedure is computationally fast and provably optimal under the generalized spiked covariance model, assuming the leading eigenvectors are sparse. A comprehensive simulation study demonstrates its robustness and effectiveness under various settings.