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Sparse CCA via Precision Adjusted Iterative Thresholding
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Sparse Canonical Correlation Analysis (CCA) has received considerable attention in high-dimensional data analysis to study the relationship between two sets of random variables. However, there has been remarkably little theoretical statistical foundation on sparse CCA in high-dimensional settings despite active methodological and applied research activities. In this paper, we introduce an elementary sufficient and necessary characterization such that the solution of CCA is indeed sparse, propose a computationally efficient procedure, called CAPIT, to estimate the canonical directions, and show that the procedure is rate-optimal under various assumptions on nuisance parameters. The procedure is applied to a breast cancer dataset from The Cancer Genome Atlas project. We identify methylation probes that are associated with genes, which have been previously characterized as prognosis signatures of the metastasis of breast cancer.
Forward citations
Cited by 2 Pith papers
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Efficient Canonical Correlation Analysis with Sparsity
ECCAR reformulates sparse CCA as a Lasso-style regression on the identity matrix, yielding fast computation with proved error bounds and one-sided support recovery.
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Stochastic optimization over expectation-formulated generalized Stiefel manifold
A new sixth-order penalty function makes stochastic optimization over expectation-formulated generalized Stiefel manifolds equivalent to unconstrained optimization, enabling stochastic gradient methods with O(epsilon^...
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