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Principal component analysis continues to be a powerful tool in dimension reduction of high dimensional data. We assume a variance-diverging model and use the high-dimension, low-sample-size asymptotics to show that even though the principal component directions are not consistent, the sample and prediction principal component scores can be useful in revealing the population structure. We further show that these scores are biased, and the bias is asymptotically decomposed into rotation and scaling parts. We propose methods of bias-adjustment that are shown to be consistent and work well in the high dimensional situations with small sample sizes. The potential advantage of bias-adjustment is demonstrated in a classification setting.

Dimension reduction of multivariate data supervised by auxiliary information is considered. A series of basis for dimension reduction is obtained as minimizers of a novel criterion. The proposed method is akin to continuum regression, and the resulting basis is called continuum directions. With a presence of binary supervision data, these directions continuously bridge the principal component, mean difference and linear discriminant directions, thus ranging from unsupervised to fully supervised dimension reduction. High-dimensional asymptotic studies of continuum directions for binary supervision reveal several interesting facts. The conditions under which the sample continuum directions are inconsistent, but their classification performance is good, are specified. While the proposed method can be directly used for binary and multi-category classification, its generalizations to incorporate any form of auxiliary data are also presented. The proposed method enjoys fast computation, and the performance is better or on par with more computer-intensive alternatives.

We consider the problem of how many components to retain in the application of principal component analysis when the dimension is much higher than the number of observations. To estimate the number of components, we propose to sequentially test skewness of the squared lengths of residual scores that are obtained by removing leading principal components. The residual lengths are asymptotically left-skewed if all principal components with diverging variances are removed, and right-skewed if not. The proposed estimator is shown to be consistent, performs well in high-dimensional simulation studies, and provides reasonable estimates in a number of real data examples.

We propose a new algorithm for sparse estimation of eigenvectors in generalized eigenvalue problems (GEP). The GEP arises in a number of modern data-analytic situations and statistical methods, including principal component analysis (PCA), multiclass linear discriminant analysis (LDA), canonical correlation analysis (CCA), sufficient dimension reduction (SDR) and invariant co-ordinate selection. We propose to modify the standard generalized orthogonal iteration with a sparsity-inducing penalty for the eigenvectors. To achieve this goal, we generalize the equation-solving step of orthogonal iteration to a penalized convex optimization problem. The resulting algorithm, called penalized orthogonal iteration, provides accurate estimation of the true eigenspace, when it is sparse. Also proposed is a computationally more efficient alternative, which works well for PCA and LDA problems. Numerical studies reveal that the proposed algorithms are competitive, and that our tuning procedure works well. We demonstrate applications of the proposed algorithm to obtain sparse estimates for PCA, multiclass LDA, CCA and SDR. Supplementary materials are available online.

Set classification problems arise when classification tasks are based on sets of observations as opposed to individual observations. In set classification, a classification rule is trained with $N$ sets of observations, where each set is labeled with class information, and the prediction of a class label is performed also with a set of observations. Data sets for set classification appear, for example, in diagnostics of disease based on multiple cell nucleus images from a single tissue. Relevant statistical models for set classification are introduced, which motivate a set classification framework based on context-free feature extraction. By understanding a set of observations as an empirical distribution, we employ a data-driven method to choose those features which contain information on location and major variation. In particular, the method of principal component analysis is used to extract the features of major variation. Multidimensional scaling is used to represent features as vector-valued points on which conventional classifiers can be applied. The proposed set classification approaches achieve better classification results than competing methods in a number of simulated data examples. The benefits of our method are demonstrated in an analysis of histopathology images of cell nuclei related to liver cancer.

In modern biomedical research, it is ubiquitous to have multiple data sets measured on the same set of samples from different views (i.e., multi-view data). For example, in genetic studies, multiple genomic data sets at different molecular levels or from different cell types are measured for a common set of individuals to investigate genetic regulation. Integration and reduction of multi-view data have the potential to leverage information in different data sets, and to reduce the magnitude and complexity of data for further statistical analysis and interpretation. In this article, we develop a novel statistical model, called supervised integrated factor analysis (SIFA), for integrative dimension reduction of multi-view data while incorporating auxiliary covariates. The model decomposes data into joint and individual factors, capturing the joint variation across multiple data sets and the individual variation specific to each set, respectively. Moreover, both joint and individual factors are partially informed by auxiliary covariates via nonparametric models. We devise a computationally efficient Expectation-Maximization (EM) algorithm to fit the model under some identifiability conditions. We apply the method to the Genotype-Tissue Expression (GTEx) data, and provide new insights into the variation decomposition of gene expression in multiple tissues. Extensive simulation studies and an additional application to a pediatric growth study demonstrate the advantage of the proposed method over competing methods.

A general framework for a novel non-geodesic decomposition of high-dimensional spheres or high-dimensional shape spaces for planar landmarks is discussed. The decomposition, principal nested spheres, leads to a sequence of submanifolds with decreasing intrinsic dimensions, which can be interpreted as an analogue of principal component analysis. In a number of real datasets, an apparent one-dimensional mode of variation curving through more than one geodesic component is captured in the one-dimensional component of principal nested spheres. While analysis of principal nested spheres provides an intuitive and flexible decomposition of the high-dimensional sphere, an interesting special case of the analysis results in finding principal geodesics, similar to those from previous approaches to manifold principal component analysis. An adaptation of our method to Kendall's shape space is discussed, and a computational algorithm for fitting principal nested spheres is proposed. The result provides a coordinate system to visualize the data structure and an intuitive summary of principal modes of variation, as exemplified by several datasets. Copyright 2012, Oxford University Press.

In High Dimension, Low Sample Size (HDLSS) data situations, where the dimension d is much larger than the sample size n, principal component analysis (PCA) plays an important role in statistical analysis. Under which conditions does the sample PCA well reflect the population covariance structure? We answer this question in a relevant asymptotic context where d grows and n is fixed, under a generalized spiked covariance model. Specifically, we assume the largest population eigenvalues to be of the order dα, where α1. Earlier results show the conditions for consistency and strong inconsistency of eigenvectors of the sample covariance matrix. In the boundary case, α=1, where the sample PC directions are neither consistent nor strongly inconsistent, we show that eigenvalues and eigenvectors do not degenerate but have limiting distributions. The result smoothly bridges the phase transition represented by the other two cases, and thus gives a spectrum of limits for the sample PCA in the HDLSS asymptotics. While the results hold under a general situation, the limiting distributions under Gaussian assumption are illustrated in greater detail. In addition, the geometric representation of HDLSS data is extended to give three different representations, that depend on the magnitude of variances in the first few principal components.

We propose a new approach to analyze data that naturally lie on manifolds. We focus on a special class of manifolds, called direct product manifolds, whose intrinsic dimension could be very high. Our method finds a low-dimensional representation of the manifold that can be used to find and visualize the principal modes of variation of the data, as Principal Component Analysis (PCA) does in linear spaces. The proposed method improves upon earlier manifold extensions of PCA by more concisely capturing important nonlinear modes. For the special case of data on a sphere, variation following nongeodesic arcs is captured in a single mode, compared to the two modes needed by previous methods. Several computational and statistical challenges are resolved. The development on spheres forms the basis of principal arc analysis on more complicated manifolds. The benefits of the method are illustrated by a data example using medial representations in image analysis., Comment: Published in at http://dx.doi.org/10.1214/10-AOAS370 the Annals of Applied Statistics (http://www.imstat.org/aoas/) by the Institute of Mathematical Statistics (http://www.imstat.org)

A generalized Principal Component Analysis (PCA) for manifold-valued shapes is discussed with forward and backward stepwise views of PCA. Finite and infinite dimensional shape spaces are briefly introduced. A backward extension of PCA for the shape spaces, called Principal Nested Spheres, is shown in more detail, which results in a non-geodesic decomposition of shape spaces, capturing more variation in lower dimension.

A novel backwards viewpoint of Principal Component Analysis is proposed. In a wide variety of cases, that fall into the area of Object Oriented Data Analysis, this viewpoint is seen to provide much more natural and accessable analogs of PCA than the standard forward viewpoint. Examples considered here include principal curves, landmark based shape analysis, medial shape representation and trees as data.

Principal component analysis (PCA) for various types of image data is analyzed in terms of the forward and backward stepwise viewpoints. In the traditional forward view, PCA and approximating subspaces are constructed from lower dimension to higher dimension. The backward approach builds PCA in the reverse order from higher dimension to lower dimension.We see that for manifold data the backward view gives much more natural and accessible generalizations of PCA. As a backward stepwise approach, composite Principal Nested Spheres, which generalizes PCA, is proposed. In an example describing the motion of the lung based on CT images, we show that composite Principal Nested Spheres captures landmark data more succinctly than forward PCA methods.

Principal Component Analysis (PCA) is an important tool of dimension reduction especially when the dimension (or the number of variables) is very high. Asymptotic studies where the sample size is fixed, and the dimension grows [i.e., High Dimension, Low Sample Size (HDLSS)] are becoming increasingly relevant. We investigate the asymptotic behavior of the Principal Component (PC) directions. HDLSS asymptotics are used to study consistency, strong inconsistency and subspace consistency. We show that if the first few eigenvalues of a population covariance matrix are large enough compared to the others, then the corresponding estimated PC directions are consistent or converge to the appropriate subspace (subspace consistency) and most other PC directions are strongly inconsistent. Broad sets of sufficient conditions for each of these cases are specified and the main theorem gives a catalogue of possible combinations. In preparation for these results, we show that the geometric representation of HDLSS data holds under general conditions, which includes a $\rho$-mixing condition and a broad range of sphericity measures of the covariance matrix., Comment: Published in at http://dx.doi.org/10.1214/09-AOS709 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org)