Transelliptical component analysis

Fang Han, Han Liu

Research output: Chapter in Book/Report/Conference proceedingConference contribution

5 Scopus citations

Abstract

We propose a high dimensional semiparametric scale-invariant principle component analysis, named TCA, by utilize the natural connection between the elliptical distribution family and the principal component analysis. Elliptical distribution family includes many well-known multivariate distributions like multivariate Gaussian, t and logistic and it is extended to the meta-elliptical by Fang et.al (2002) using the copula techniques. In this paper we extend the meta-elliptical distribution family to a even larger family, called transelliptical. We prove that TCA can obtain a near-optimal s √log d/n estimation consistency rate in recovering the leading eigenvector of the latent generalized correlation matrix under the transelliptical distribution family, even if the distributions are very heavy-tailed, have infinite second moments, do not have densities and possess arbitrarily continuous marginal distributions. A feature selection result with explicit rate is also provided. TCA is further implemented in both numerical simulations and large-scale stock data to illustrate its empirical usefulness. Both theories and experiments confirm that TCA can achieve model flexibility, estimation accuracy and robustness at almost no cost.

Original languageEnglish (US)
Title of host publicationAdvances in Neural Information Processing Systems 25
Subtitle of host publication26th Annual Conference on Neural Information Processing Systems 2012, NIPS 2012
Pages359-367
Number of pages9
Volume1
StatePublished - Dec 1 2012
Event26th Annual Conference on Neural Information Processing Systems 2012, NIPS 2012 - Lake Tahoe, NV, United States
Duration: Dec 3 2012Dec 6 2012

Conference

Conference26th Annual Conference on Neural Information Processing Systems 2012, NIPS 2012
CountryUnited States
CityLake Tahoe, NV
Period12/3/1212/6/12

ASJC Scopus subject areas

  • Computer Networks and Communications
  • Information Systems
  • Signal Processing

Fingerprint Dive into the research topics of 'Transelliptical component analysis'. Together they form a unique fingerprint.

Cite this