论文标题
对高维矩阵变化序列进行建模和学习
Modeling and Learning on High-Dimensional Matrix-Variate Sequences
论文作者
论文摘要
我们提出了一个新的矩阵因子模型,称为RADFAM,该模型严格根据一般秩分解而得出,并假定每个基矢量的高维矢量因子模型的结构。 RadFam贡献了一类新型的低级潜在结构,从张量子空间的角度来看,信号强度和尺寸降低之间的权衡。基于RADFAM的固有可分离协方差结构,对于矩阵值观测值的集合,我们得出了一类新的PCA变体,用于估计负载矩阵,并顺序依次通过潜在因子矩阵。在PCA型估计的类别中,RADFAM的峰值信噪比被证明是优越的。我们还建立了渐近理论,包括信号部分中组件的一致性,收敛速率和渐近分布。从数值上讲,我们分别在不相关和相关的数据上,分别在矩阵重建,监督学习和聚类等应用中演示了RADFAM的性能。
We propose a new matrix factor model, named RaDFaM, which is strictly derived based on the general rank decomposition and assumes a structure of a high-dimensional vector factor model for each basis vector. RaDFaM contributes a novel class of low-rank latent structure that makes tradeoff between signal intensity and dimension reduction from the perspective of tensor subspace. Based on the intrinsic separable covariance structure of RaDFaM, for a collection of matrix-valued observations, we derive a new class of PCA variants for estimating loading matrices, and sequentially the latent factor matrices. The peak signal-to-noise ratio of RaDFaM is proved to be superior in the category of PCA-type estimations. We also establish the asymptotic theory including the consistency, convergence rates, and asymptotic distributions for components in the signal part. Numerically, we demonstrate the performance of RaDFaM in applications such as matrix reconstruction, supervised learning, and clustering, on uncorrelated and correlated data, respectively.