Robust High-Dimensional Factor Models with Applications to Statistical Machine Learning

Jianqing Fan, Kaizheng Wang, Yiqiao Zhong, Ziwei Zhu

Research output: Contribution to journalArticlepeer-review

3 Scopus citations

Abstract

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.

Original languageEnglish (US)
Pages (from-to)303-327
Number of pages25
JournalStatistical Science
Volume36
Issue number2
DOIs
StatePublished - May 2021

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Mathematics(all)
  • Statistics, Probability and Uncertainty

Keywords

  • covariance estimation
  • Factor model
  • FarmSelect
  • FarmTest
  • PCA
  • perturbation bounds
  • random sketch
  • robustness

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