Estimating shared subspace with AJIVE: the power and limitation of multiple data matrices

• URL: http://arxiv.org/abs/2501.09336v2
• Date: Sat, 15 Feb 2025 19:41:27 GMT
• Title: Estimating shared subspace with AJIVE: the power and limitation of multiple data matrices
• Authors: Yuepeng Yang, Cong Ma,
• Abstract summary: This paper provides a systematic analysis of shared subspace estimation in multi-matrix settings. We focus on the Angle-based Joint and Individual Variation Explained (AJIVE) method, a two-stage spectral approach. We show that in high signal-to-noise ratio (SNR) regimes, AJIVE's estimation error decreases with the number of matrices. In low-SNR settings, AJIVE exhibits a non-diminishing error, highlighting fundamental limitations.
• Score: 22.32547146723177
• License:
• Abstract: Integrative data analysis often requires disentangling joint and individual variations across multiple datasets, a challenge commonly addressed by the Joint and Individual Variation Explained (JIVE) model. While numerous methods have been developed to estimate the shared subspace under JIVE, the theoretical understanding of their performance remains limited, particularly in the context of multiple matrices and varying degrees of subspace misalignment. This paper bridges this gap by providing a systematic analysis of shared subspace estimation in multi-matrix settings. We focus on the Angle-based Joint and Individual Variation Explained (AJIVE) method, a two-stage spectral approach, and establish new performance guarantees that uncover its strengths and limitations. Specifically, we show that in high signal-to-noise ratio (SNR) regimes, AJIVE's estimation error decreases with the number of matrices, demonstrating the power of multi-matrix integration. Conversely, in low-SNR settings, AJIVE exhibits a non-diminishing error, highlighting fundamental limitations. To complement these results, we derive minimax lower bounds, showing that AJIVE achieves optimal rates in high-SNR regimes. Furthermore, we analyze an oracle-aided spectral estimator to demonstrate that the non-diminishing error in low-SNR scenarios is a fundamental barrier. Extensive numerical experiments corroborate our theoretical findings, providing insights into the interplay between SNR, the number of matrices, and subspace misalignment.

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