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arXiv · 1901.11366

Determining the Dimension and Structure of the Subspace Correlated Across Multiple Data Sets

Tanuj Hasija·Christian Lameiro·Timothy Marrinan·Peter J. Schreier
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Abstract

Detecting the components common or correlated across multiple data sets is challenging due to a large number of possible correlation structures among the components. Even more challenging is to determine the precise structure of these correlations. Traditional work has focused on determining only the model order, i.e., the dimension of the correlated subspace, a number that depends on how the model-order problem is defined. Moreover, identifying the model order is often not enough to understand the relationship among the components in different data sets. We aim at solving the complete modelselection problem, i.e., determining which components are correlated across which data sets. We prove that the eigenvalues and eigenvectors of the normalized covariance matrix of the composite data vector, under certain conditions, completely characterize the underlying correlation structure. We use these results to solve the model-selection problem by employing bootstrap-based hypothesis testing.

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Tanuj Hasija, Christian Lameiro, Timothy Marrinan, Peter J. Schreier. 2019-01-31. Determining the Dimension and Structure of the Subspace Correlated Across Multiple Data Sets. https://arxiv.org/abs/1901.11366

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