We propose a novel Rayleigh quotient based sparse quadratic dimension reduction methodnamed QUADRO (Qua dratic D imension R eduction via Rayleigh O ptimization)for analyzing high-dimensional data. Unlike in the linear setting where Rayleigh quotient optimization coincides with classification, these two problems are very different under nonlinear settings. In this paper, we clarify this difference and show that Rayleigh quotient optimization may be of independent scientific interests. One major challenge of Rayleigh quotient optimization is that the variance of quadratic statistics involves all fourth cross-moments of predictors, which are infeasible to compute for high-dimensional applications and may accumulate too many stochastic errors. This issue is resolved by considering a family of elliptical models. Moreover, for heavy-tail distributions, robust estimates of mean vectors and covariance matrices are

Big data is transforming our world, revolutionizing operations and analytics everywhere, from financial engineering to biomedical sciences. The complexity of big data often makes dimension reduction techniques necessary before conducting statistical inference. Principal component analysis, commonly referred to as PCA, has become an essential tool for multivariate data analysis and unsupervised dimension reduction, the goal of which is to find a lower dimensional subspace that captures most of the variation in the dataset. This article provides an overview of methodological and theoretical developments of PCA over the past decade, with focus on its applications to big data analytics. We first review the mathematical formulation of PCA and its theoretical development from the view point of perturbation analysis. We then briefly discuss the relationship between PCA and factor analysis as well as its applications to

A variable screening procedure via correlation learning was proposed by Fan and Lv (2008) to reduce dimensionality in sparse ultra-high-dimensional models. Even when the true model is linear, the marginal regression can be highly nonlinear. To address this issue, we further extend the correlation learning to marginal nonparametric learning. Our nonparametric independence screening (NIS) is a specific type of sure independence screening. We propose several closely related variable screening procedures. We show that with general nonparametric models, under some mild technical conditions, the proposed independence screening methods have a sure screening property. The extent to which the dimensionality can be reduced by independence screening is also explicitly quantified. As a methodological extension, we also propose a data-driven thresholding and an iterative nonparametric independence

Heterogeneity is an unwanted variation when analyzing aggregated datasets from multiple sources. Though different methods have been proposed for heterogeneity adjustment, no systematic theory exists to justify these methods. In this work, we propose a generic framework named ALPHA (short for Adaptive Low-rank Principal Heterogeneity Adjustment) to model, estimate, and adjust heterogeneity from the original data. Once the heterogeneity is adjusted, we are able to remove the batch effects and to enhance the inferential power by aggregating the homogeneous residuals from multiple sources. Under a pervasive assumption that the latent heterogeneity factors simultaneously affect a fraction of observed variables, we provide a rigorous theory to justify the proposed framework. Our framework also allows the incorporation of informative covariates and appeals to the Bless of Dimensionality. As an illustrative

We prove a sharp Bernstein inequality for general-state-space and not necessarily reversible Markov chains. It is sharp in the sense that the variance proxy term is optimal. Our result covers the classical Bernstein's inequality for independent random variables as a special case.