Work

A Bayesian Sparse Factor Model with Adaptive Posterior Concentration

Year: 2023

Type: article

Abstract: In this paper, we propose a new Bayesian inference method for a high-dimensional sparse factor model that allows both the factor dimensionality and the sparse structure of the loading matrix to be inferred. The novelty is to introduce a certain dependence between the sparsity level and the factor dimensionality, which leads to adaptive posterior concentration while keeping computational tractability. We show that the posterior distribution asymptotically concentrates on the true factor dimensionality, and more importantly, this posterior consistency is adaptive to the sparsity level of the true loading matrix and the noise variance. We also prove that the proposed Bayesian model attains the optimal detection rate of the factor dimensionality in a more general situation than those found in the literature. Moreover, we obtain a near-optimal posterior concentration rate of the covariance matrix. Numerical studies are conducted and show the superiority of the proposed method compared with other competitors.

Source: Bayesian Analysis

DOI: 10.1214/23-ba1392

Authors: Ilsang Ohn, Lizhen Lin, Yongdai Kim

Institutions: Inha University, University of Notre Dame, Seoul National University

Language: English

Topic: Statistical Methods and Inference

Subfield: Statistics and Probability

Field: Mathematics

Domain: Physical Sciences

Open Access status: diamond

Funders: National Science Foundation, National Research Foundation, National Research Foundation of Korea, Ministry of Science and ICT, South Korea

Awards: G2838263400, CAREER: Utilizing Geometry for Statistical Learning and Inference, G4610018812, G6671297155, Deep Learning on Manifolds: New Architectures and Theoretical Foundations