Distributional Matrix Completion via Nearest Neighbors in the Wasserstein Space

• URL: http://arxiv.org/abs/2410.13112v1
• Date: Thu, 17 Oct 2024 00:50:17 GMT
• Title: Distributional Matrix Completion via Nearest Neighbors in the Wasserstein Space
• Authors: Jacob Feitelberg, Kyuseong Choi, Anish Agarwal, Raaz Dwivedi,
• Abstract summary: Given a sparsely observed matrix of empirical distributions, we seek to impute the true distributions associated with both observed and unobserved matrix entries. We utilize tools from optimal transport to generalize the nearest neighbors method to the distributional setting.
• Score: 8.971989179518216
• License:
• Abstract: We introduce the problem of distributional matrix completion: Given a sparsely observed matrix of empirical distributions, we seek to impute the true distributions associated with both observed and unobserved matrix entries. This is a generalization of traditional matrix completion where the observations per matrix entry are scalar valued. To do so, we utilize tools from optimal transport to generalize the nearest neighbors method to the distributional setting. Under a suitable latent factor model on probability distributions, we establish that our method recovers the distributions in the Wasserstein norm. We demonstrate through simulations that our method is able to (i) provide better distributional estimates for an entry compared to using observed samples for that entry alone, (ii) yield accurate estimates of distributional quantities such as standard deviation and value-at-risk, and (iii) inherently support heteroscedastic noise. We also prove novel asymptotic results for Wasserstein barycenters over one-dimensional distributions.

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