Fan Jianqing, Wang Kaizheng, Zhong Yiqiao, Zhu Ziwei
Department of Operations Research and Financial Engineering, Princeton University, Princeton, 08540, NJ, USA.
Department of Industrial Engineering and Operations Research, Columbia University, New York, 10027, NY, USA.
Stat Sci. 2021 May;36(2):303-327. doi: 10.1214/20-sts785. Epub 2021 Apr 19.
Factor models are a class of powerful statistical models that have been widely used to deal with dependent measurements that arise frequently from various applications from genomics and neuroscience to economics and finance. As data are collected at an ever-growing scale, statistical machine learning faces some new challenges: high dimensionality, strong dependence among observed variables, heavy-tailed variables and heterogeneity. High-dimensional robust factor analysis serves as a powerful toolkit to conquer these challenges. This paper gives a selective overview on recent advance on high-dimensional factor models and their applications to statistics including Factor-Adjusted Robust Model selection (FarmSelect) and Factor-Adjusted Robust Multiple testing (FarmTest). We show that classical methods, especially principal component analysis (PCA), can be tailored to many new problems and provide powerful tools for statistical estimation and inference. We highlight PCA and its connections to matrix perturbation theory, robust statistics, random projection, false discovery rate, etc., and illustrate through several applications how insights from these fields yield solutions to modern challenges. We also present far-reaching connections between factor models and popular statistical learning problems, including network analysis and low-rank matrix recovery.
因子模型是一类强大的统计模型,已被广泛用于处理从基因组学、神经科学到经济学和金融等各种应用中频繁出现的相关测量数据。随着数据收集规模的不断扩大,统计机器学习面临一些新挑战:高维度、观测变量之间的强相关性、重尾变量和异质性。高维稳健因子分析是克服这些挑战的有力工具。本文对高维因子模型及其在统计学中的应用(包括因子调整稳健模型选择(FarmSelect)和因子调整稳健多重检验(FarmTest))的最新进展进行了选择性综述。我们表明,经典方法,特别是主成分分析(PCA),可以针对许多新问题进行调整,并为统计估计和推断提供强大工具。我们重点介绍了PCA及其与矩阵扰动理论、稳健统计学、随机投影、错误发现率等的联系,并通过几个应用实例说明了这些领域的见解如何产生解决现代挑战的方案。我们还展示了因子模型与流行的统计学习问题之间的深远联系,包括网络分析和低秩矩阵恢复。