D-CCA: A Decomposition-Based Canonical Correlation Analysis for High-Dimensional Datasets

Hai Shu, Xiao Wang, Hongtu Zhu

Research output: Contribution to journalArticle

Abstract

A typical approach to the joint analysis of two high-dimensional datasets is to decompose each data matrix into three parts: a low-rank common matrix that captures the shared information across datasets, a low-rank distinctive matrix that characterizes the individual information within a single dataset, and an additive noise matrix. Existing decomposition methods often focus on the orthogonality between the common and distinctive matrices, but inadequately consider the more necessary orthogonal relationship between the two distinctive matrices. The latter guarantees that no more shared information is extractable from the distinctive matrices. We propose decomposition-based canonical correlation analysis (D-CCA), a novel decomposition method that defines the common and distinctive matrices from the (Formula presented.) space of random variables rather than the conventionally used Euclidean space, with a careful construction of the orthogonal relationship between distinctive matrices. D-CCA represents a natural generalization of the traditional canonical correlation analysis. The proposed estimators of common and distinctive matrices are shown to be consistent and have reasonably better performance than some state-of-the-art methods in both simulated data and the real data analysis of breast cancer data obtained from The Cancer Genome Atlas. Supplementary materials for this article are available online.

Original languageEnglish (US)
Pages (from-to)292-306
Number of pages15
JournalJournal of the American Statistical Association
Volume115
Issue number529
DOIs
StatePublished - Jan 2 2020

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Keywords

  • Approximate factor model
  • Canonical variable
  • Common structure
  • Distinctive structure
  • Soft thresholding

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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