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We consider the problem of decomposing a large covariance matrix into the sum of a low-rank matrix and a diagonally dominant matrix, and we call this problem the Diagonally-Dominant Principal Component Analysis (DD-PCA). DD-PCA is an effective tool for designing statistical methods for strongly correlated data. We showcase the use of DD-PCA in two statistical problems: covariance matrix estimation, and global detection in multiple testing. Using the output of DD-PCA, we propose a new estimator for estimating a large covariance matrix with factor structure. Thanks to a nice property of diagonally dominant matrices, this estimator enjoys the advantage of simultaneous good estimation of the covariance matrix and the precision matrix (by a plain inversion). A plug-in of this estimator to linear discriminant analysis and portfolio optimization yields appealing performance in real data. We also propose two new tests for testing the global null hypothesis in multiple testing when the $z$-scores have a factor covariance structure. Both tests first use DD-PCA to adjust the individual $p$-values and then plug in the adjusted $p$-values to the Higher Criticism (HC) test. These new tests significantly improve over the HC test and compare favorably with other existing tests. For computation of DD-PCA, we propose an iterative projection algorithm and an ADMM algorithm.
Principal component analysis (PCA) is an important tool in exploring data. The conventional approach to PCA leads to a solution which favours the structures with large variances. This is sensitive to outliers and could obfuscate interesting underlyin
Motivation: Although principal component analysis is frequently applied to reduce the dimensionality of matrix data, the method is sensitive to noise and bias and has difficulty with comparability and interpretation. These issues are addressed by imp
A principal component analysis based on the generalized Gini correlation index is proposed (Gini PCA). The Gini PCA generalizes the standard PCA based on the variance. It is shown, in the Gaussian case, that the standard PCA is equivalent to the Gini
Sparse Principal Component Analysis (SPCA) is widely used in data processing and dimension reduction; it uses the lasso to produce modified principal components with sparse loadings for better interpretability. However, sparse PCA never considers an
We present a novel technique for sparse principal component analysis. This method, named Eigenvectors from Eigenvalues Sparse Principal Component Analysis (EESPCA), is based on the recently detailed formula for computing normed, squared eigenvector l