D-GCCA: Decomposition-based Generalized Canonical Correlation Analysis for Multiple High-dimensional Datasets

Modern biomedical studies often collect multiple types of high-dimensional data on a common set of objects. A popular model for the joint analysis of multi-type datasets decomposes each data matrix into a low-rank common-variation matrix generated by latent factors shared across all datasets, a low-rank distinctive-variation matrix corresponding to each dataset, and an additive noise matrix. We propose decomposition-based generalized canonical correlation analysis (D-GCCA), a novel decomposition method that appropriately defines those matrices on the L2 space of random variables, whereas most existing methods are developed on its approximation, the Euclidean dot product space. Moreover to well calibrate common latent factors, we impose a desirable orthogonality constraint on distinctive latent factors. Existing methods inadequately consider such orthogonality and can thus suffer from substantial loss of undetected common variation. Our D-GCCA takes one step further than GCCA by separating common and distinctive variations among canonical variables, and enjoys an appealing interpretation from the perspective of principal component analysis. Consistent estimators of our common-variation and distinctive-variation matrices are established with good finite-sample numerical performance, and have closed-form expressions leading to efficient computation especially for large-scale datasets. The superiority of D-GCCA over state-of-the-art methods is also corroborated in simulations and real-world data examples.