arXiv subjects

Yuefeng Han

Publications and source records attributed to Yuefeng Han.

At least 19 recordsLinked to original sources

arXiv2026

From Reverse Detection--Estimation Gaps to Computational Lower Bounds for Norm Approximation

We develop a general reduction scheme that converts reverse detection--estimation gaps into computational lower bounds for norm approximation. If an efficiently computable estimator has error well below a conjectured computational detection threshold, then a sufficiently accurate norm approximator applied to this estimator would yield an efficient test, transferring average-case detection hardness to worst-case approximation hardness. The ratio between the detection and estimation scales becomes a lower bound on the achievable approximation factor. We apply the reduction in three settings. Using a previously established reverse gap for high-order cumulant tensors, we obtain a conditional lower bound for polynomial-time approximation of the order-$d$ tensor spectral norm. We then establish new reverse gaps for the $k$-sparse matrix spectral norm and a normalized $k$-sparse matrix cut norm under planted-clique hardness. The resulting lower bounds are of order $\sqrt{k}$ up to a logarithmic factor, matching the simple deterministic $\sqrt{k}$ certificates, whereas previous hardness results for the sparse principal component objective rule out only constant factors. Finally, under a model-specific low-degree conjecture, a new reverse gap forces polynomially growing approximation factors for the order-$d$ tensor cut norm when $d\ge3$. These results identify reverse detection--estimation gaps as a systematic source of computational lower bounds for norm approximation.

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arXiv2026

Bandable Cumulant Tensors: Optimal Estimation and Applications in Non-Gaussian Data Modeling

Higher-order cumulants capture the non-Gaussian dependence that covariance misses, but they are hard to use in high dimensions. An order-$d$ cumulant tensor has $p^d$ entries, and the plug-in sample cumulant is generally not even rate-optimal under the tensor spectral norm. For ordered data, both difficulties admit one remedy: assuming that higher-order interactions decay away from the main tensor diagonal, we introduce a bandable cumulant class and a tapered sample cumulant estimator that computes only $O(pk^{d-1})$ local entries at bandwidth $k$ and never forms the full tensor. Under exponential-type tail conditions, we prove nonasymptotic spectral-norm bounds that separate tapering bias from stochastic error, and a minimax lower bound over the same class that matches the leading bias and stochastic terms of the upper bound; for sub-Gaussian observations, the tapered estimator attains the minimax rate whenever $n\gg(k+\log p)^{d-1}$ at the oracle bandwidth $k$, with the ambient dimension entering only through $\log p$. Localization also suppresses the higher-order fluctuations behind this suboptimality, so tapering plays a stronger role here than in bandable covariance estimation. The spectral-norm guarantee transfers directly to downstream tasks, yielding plug-in error bounds for cumulant Yule--Walker estimation in autoregressive models, minimum-distance estimation in moving-average models, and matched-filter source localization in sensor arrays. Simulations corroborate the theory, and real-data analyses of RR-interval, air-quality, and Neuropixels recordings illustrate the resulting stability gains.

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arXiv2026

Stability beyond Bounded Differences: Sharp Generalization Bounds under Finite $L_p$ Moments

While algorithmic stability is a central tool for understanding generalization of learning algorithms, existing high-probability guarantees typically rely on uniform boundedness or sub-Gaussian/sub-Weibull tail assumptions, which can be overly restrictive for modern settings with heavy-tailed or unbounded losses. We develop a stability-based framework that requires only a finite $L_p$ moment condition. Our first contribution is sharp concentration inequalities for functions of independent random variables under $L_p$ constraints, extending McDiarmid's bounded-differences techniques beyond the classical regime. Leveraging these results, we derive sharp high-probability generalization bounds across a range of learning paradigms, including empirical risk minimization, transductive regression, and meta-learning. These guarantees show that $L_p$ stability suffices for robust generalization even when boundedness fails, substantially weakening the standard assumptions in the stability literature.

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arXiv2026

Factor Augmented High-Dimensional SGD

Stochastic gradient descent (SGD) is a fundamental optimization algorithm widely used in modern machine learning. In this paper, we propose Factor-Augmented SGD (FSGD), a new optimization method that leverages latent factor representations in high-dimensional learning tasks. Unlike standard two-stage dimension reduction approaches that rely on offline representation learning and full data storage, a key novelty of FSGD is that it operates purely on streaming data, making it scalable to large-scale and high-dimensional problems. Furthermore, we establish the first theoretical framework that explicitly incorporates latent factor estimation error into the analysis of SGD, and provide moment convergence in $\ell^s$ norm under decaying step sizes and mini-batch updates. Our results provide a new foundation for employing SGD reliably and scalably in high-dimensional machine learning systems.

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arXiv2026

Detection Is Harder Than Estimation in Certain Regimes: Inference for Moment and Cumulant Tensors

We study estimation and detection of high-order moment and cumulant tensors from $n$ i.i.d.\ observations of a $p$-dimensional random vector, with performance measured in tensor spectral norm. Under sub-Gaussianity, we show that the minimax rate for estimating the order-$d$ moment and cumulant tensors is $\sqrt{p/n}\wedge 1$. In contrast to covariance estimation, the sample moment tensor is generally not rate-optimal for $d\ge 3$, and we construct an estimator that attains the minimax rate up to logarithmic factors. On the computational side, we study testing whether the $d$-th order cumulant tensor vanishes after whitening. Using the low-degree polynomial framework, we provide evidence that detection is computationally hard when $n\ll p^{d/2}$. At the same time, we identify a regime in which an efficiently computable estimator achieves error smaller than the separation at which low-degree tests can reliably distinguish the null from the alternative. This reveals an unusual reverse detection--estimation gap: computationally efficient detection can be harder than computationally efficient estimation. The underlying reason is that the relevant loss, tensor spectral norm, is itself NP-hard to compute, creating a new form of computational--statistical gap.

math.ST↗

arXiv2026

Modewise Additive Factor Model for Matrix Time Series

We introduce a Modewise Additive Factor Model (MAFM) for matrix-valued time series that captures row-specific and column-specific latent effects through an additive structure, offering greater flexibility than multiplicative frameworks such as Tucker and CP factor models. In MAFM, each observation decomposes into a row-factor component, a column-factor component, and noise, allowing distinct sources of variation along different modes to be modeled separately. We develop a computationally efficient two-stage estimation procedure: Modewise Inner-product Eigendecomposition (MINE) for initialization, followed by Complement-Projected Alternating Subspace Estimation (COMPAS) for iterative refinement. The key methodological innovation is that orthogonal complement projections completely eliminate cross-modal interference when estimating each loading space. We establish convergence rates for the estimated factor loading matrices under proper conditions. We further derive asymptotic distributions for the loading matrix estimators and develop consistent covariance estimators, yielding a data-driven inference framework that enables confidence interval construction and hypothesis testing. As a technical contribution of independent interest, we establish matrix Bernstein inequalities for quadratic forms of dependent matrix time series. Numerical experiments on synthetic and real data demonstrate the advantages of the proposed method over existing approaches.

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arXiv2026

Diffusion Index Forecasting with Tensor Data

In this paper, we consider diffusion index forecasting with both tensor and non-tensor predictors, where the tensor structure is preserved with a Canonical Polyadic (CP) tensor factor model. When the number of non-tensor predictors is small, we study the asymptotic properties of the least squares estimator in this tensor factor-augmented regression, allowing for factors with different strengths. We derive an analytical formula for prediction intervals that accounts for the estimation uncertainty of the latent factors. In addition, we propose a novel thresholding estimator for the high-dimensional covariance matrix that is robust to cross-sectional dependence. When the number of non-tensor predictors exceeds or diverges with the sample size, we introduce a multi-source factor-augmented sparse regression model and establish the consistency of the corresponding penalized estimator. Simulation studies validate our theoretical results and an empirical application to U.S. trade flows demonstrates the advantages of our approach over other popular methods in the literature.

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arXiv2025

Panel Coupled Matrix-Tensor Clustering Model with Applications to Asset Pricing

We tackle the challenge of estimating grouping structures and factor loadings in asset pricing models, where traditional regressions struggle due to sparse data and high noise. Existing approaches, such as those using fused penalties and multi-task learning, often enforce coefficient homogeneity across cross-sectional units, reducing flexibility. Clustering methods (e.g., spectral clustering, Lloyd's algorithm) achieve consistent recovery under specific conditions but typically rely on a single data source. To address these limitations, we introduce the Panel Coupled Matrix-Tensor Clustering (PMTC) model, which simultaneously leverages a characteristics tensor and a return matrix to identify latent asset groups. By integrating these data sources, we develop computationally efficient tensor clustering algorithms that enhance both clustering accuracy and factor loading estimation. Simulations demonstrate that our methods outperform single-source alternatives in clustering accuracy and coefficient estimation, particularly under moderate signal-to-noise conditions. Empirical application to U.S. equities demonstrates the practical value of PMTC, yielding higher out-of-sample total $R^2$ and economically interpretable variation in factor exposures.

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arXiv2025

High-Dimensional Tensor Discriminant Analysis: Low-Rank Discriminant Structure, Representation Synergy, and Theoretical Guarantees

High-dimensional tensor-valued predictors arise in modern applications, increasingly as learned representations from neural networks. Existing tensor classification methods rely on sparsity or Tucker structures and often lack theoretical guarantees. Motivated by empirical evidence that discriminative signals concentrate along a few multilinear components, we introduce CP low-rank structure for the discriminant tensor, a modeling perspective not previously explored. Under a Tensor Gaussian Mixture Model, we propose high-dimensional CP low-rank Tensor Discriminant Analysis (CP-TDA) with Randomized Composite PCA (\textsc{rc-PCA}) initialization, that is essential for handling dependent and anisotropic noise under weaker signal strength and incoherence conditions, followed by iterative refinement algorithm. We establish global convergence and minimax-optimal misclassification rates. To handle tensor data deviating from tensor normality, we develop the first semiparametric tensor discriminant model, in which learned tensor representations are mapped via deep generative models into a latent space tailored for CP-TDA. Misclassification risk decomposes into representation, approximation, and estimation errors. Numerical studies and real data analysis on graph classification demonstrate substantial gains over existing tensor classifiers and state-of-the-art graph neural networks, particularly in high-dimensional, small-sample regimes.

cs.LG↗

arXiv2025

Tensor Neyman-Pearson Classification: Theory, Algorithms, and Error Control

Biochemical discovery increasingly relies on classifying molecular structures when the consequences of different errors are highly asymmetric. In mutagenicity and carcinogenicity, misclassifying a harmful compound as benign can trigger substantial scientific, regulatory, and health risks, whereas false alarms primarily increase laboratory workload. Modern representations transform molecular graphs into persistence image tensors that preserve multiscale geometric and topological structure, yet existing tensor classifiers and deep tensor neural networks provide no finite-sample guarantees on type I error and often exhibit severe error inflation in practice. We develop the first Tensor Neyman-Pearson (Tensor-NP) classification framework that achieves finite-sample control of type I error while exploiting the multi-mode structure of tensor data. Under a tensor-normal mixture model, we derive the oracle NP discriminant, characterize its Tucker low-rank manifold geometry, and establish tensor-specific margin and conditional detection conditions enabling high-probability bounds on excess type II error. We further propose a Discriminant Tensor Iterative Projection estimator and a Tensor-NP Neural Classifier combining deep learning with Tensor-NP umbrella calibration, yielding the first distribution-free NP-valid methods for multiway data. Across four biochemical datasets, Tensor-NP classifiers maintain type I errors at prespecified levels while delivering competitive type II error performance, providing reliable tools for asymmetric-risk decisions with complex molecular tensors.

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arXiv2025

Threshold Tensor Factor Model in CP Form

This paper proposes a new Threshold Tensor Factor Model in Canonical Polyadic (CP) form for tensor time series. By integrating a thresholding autoregressive structure for the latent factor process into the tensor factor model in CP form, the model captures regime-switching dynamics in the latent factor processes while retaining the parsimony and interpretability of low-rank tensor representations. We develop estimation procedures for the model and establish the theoretical properties of the resulting estimators. Numerical experiments and a real-data application illustrate the practical performance and usefulness of the proposed framework.

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arXiv2025

Estimation of High-dimensional Nonlinear Vector Autoregressive Models

High-dimensional vector autoregressive (VAR) models have numerous applications in fields such as econometrics, biology, climatology, among others. While prior research has mainly focused on linear VAR models, these approaches can be restrictive in practice. To address this, we introduce a high-dimensional non-parametric sparse additive model, providing a more flexible framework. Our method employs basis expansions to construct high-dimensional nonlinear VAR models. We derive convergence rates and model selection consistency for least squared estimators, considering dependence measures of the processes, error moment conditions, sparsity, and basis expansions. Our theory significantly extends prior linear VAR models by incorporating both non-Gaussianity and non-linearity. As a key contribution, we derive sharp Bernstein-type inequalities for tail probabilities in both non-sub-Gaussian linear and nonlinear VAR processes, which match the classical Bernstein inequality for independent random variables. Additionally, we present numerical experiments that support our theoretical findings and demonstrate the advantages of the nonlinear VAR model for a gene expression time series dataset.

math.ST↗

arXiv2025

Supervised Dynamic Dimension Reduction with Deep Neural Network

This paper studies the problem of dimension reduction, tailored to improving time series forecasting with high-dimensional predictors. We propose a novel Supervised Deep Dynamic Principal component analysis (SDDP) framework that incorporates the target variable and lagged observations into the factor extraction process. Assisted by a temporal neural network, we construct target-aware predictors by scaling the original predictors in a supervised manner, with larger weights assigned to predictors with stronger forecasting power. A principal component analysis is then performed on the target-aware predictors to extract the estimated SDDP factors. This supervised factor extraction not only improves predictive accuracy in the downstream forecasting task but also yields more interpretable and target-specific latent factors. Building upon SDDP, we propose a factor-augmented nonlinear dynamic forecasting model that unifies a broad family of factor-model-based forecasting approaches. To further demonstrate the broader applicability of SDDP, we extend our studies to a more challenging scenario when the predictors are only partially observable. We validate the empirical performance of the proposed method on several real-world public datasets. The results show that our algorithm achieves notable improvements in forecasting accuracy compared to state-of-the-art methods.

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arXiv2025

Guaranteed Noisy CP Tensor Recovery via Riemannian Optimization on the Segre Manifold

Recovering a low-CP-rank tensor from noisy linear measurements is a central challenge in high-dimensional data analysis, with applications spanning tensor PCA, tensor regression, and beyond. We exploit the intrinsic geometry of rank-one tensors by casting the recovery task as an optimization problem over the Segre manifold, the smooth Riemannian manifold of rank-one tensors. This geometric viewpoint yields two powerful algorithms: Riemannian Gradient Descent (RGD) and Riemannian Gauss-Newton (RGN), each of which preserves feasibility at every iteration. Under mild noise assumptions, we prove that RGD converges at a local linear rate, while RGN exhibits an initial local quadratic convergence phase that transitions to a linear rate as the iterates approach the statistical noise floor. Extensive synthetic experiments validate these convergence guarantees and demonstrate the practical effectiveness of our methods.

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arXiv2025

Estimation and Inference for CP Tensor Factor Models

High-dimensional tensor-valued data have recently gained attention from researchers in economics and finance. We consider the estimation and inference of high-dimensional tensor factor models, where each dimension of the tensor diverges. Our focus is on a factor model that admits CP-type tensor decomposition, which allows for non-orthogonal loading vectors. Based on the contemporary covariance matrix, we propose an iterative simultaneous projection estimation method. Our estimator is robust to weak dependence among factors and weak correlation across different dimensions in the idiosyncratic shocks. We establish an inferential theory, demonstrating both consistency and asymptotic normality under relaxed assumptions. Within a unified framework, we consider two eigenvalue ratio-based estimators for the number of factors in a tensor factor model and justify their consistency. Simulation studies confirm the theoretical results and an empirical application to sorted portfolios reveals three important factors: a market factor, a long-short factor, and a volatility factor.

stat.ME↗

arXiv2025

WISE: A Weighted Similarity Aggregation Test for Serial Independence

We propose a nonparametric test for serial independence that aggregates pairwise similarities of observations with lag-dependent weights. The resulting statistic is powerful to general forms of temporal dependence, including nonlinear and uncorrelated alternatives, and applies to ultra-high-dimensional and non-Euclidean data. We derive asymptotic normality under both permutation and population nulls, and establish consistency in classical large-sample and high-dimension-low-sample-size (HDLSS) regimes. The test therefore provides the first theoretical power guarantees for serial independence in the HDLSS setting. Simulations demonstrate accurate size and strong power against a wide range of alternatives, showing significant power improvement over existing methods under various high-dimensional time series models. An application to spatio-temporal data illustrates the method's utility for non-Euclidean observations.

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arXiv2025

Factor Augmented Supervised Learning with Text Embeddings

Large language models (LLMs) generate text embeddings from text data, producing vector representations that capture the semantic meaning and contextual relationships of words. However, the high dimensionality of these embeddings often impedes efficiency and drives up computational cost in downstream tasks. To address this, we propose AutoEncoder-Augmented Learning with Text (AEALT), a supervised, factor-augmented framework that incorporates dimension reduction directly into pre-trained LLM workflows. First, we extract embeddings from text documents; next, we pass them through a supervised augmented autoencoder to learn low-dimensional, task-relevant latent factors. By modeling the nonlinear structure of complex embeddings, AEALT outperforms conventional deep-learning approaches that rely on raw embeddings. We validate its broad applicability with extensive experiments on classification, anomaly detection, and prediction tasks using multiple real-world public datasets. Numerical results demonstrate that AEALT yields substantial gains over both vanilla embeddings and several standard dimension reduction methods.

cs.CL↗

arXiv2025

Covariate-Adjusted Deep Causal Learning for Heterogeneous Panel Data Models

This paper studies the task of estimating heterogeneous treatment effects in causal panel data models, in the presence of covariate effects. We propose a novel Covariate-Adjusted Deep Causal Learning (CoDEAL) for panel data models, that employs flexible model structures and powerful neural network architectures to cohesively deal with the underlying heterogeneity and nonlinearity of both panel units and covariate effects. The proposed CoDEAL integrates nonlinear covariate effect components (parameterized by a feed-forward neural network) with nonlinear factor structures (modeled by a multi-output autoencoder) to form a heterogeneous causal panel model. The nonlinear covariate component offers a flexible framework for capturing the complex influences of covariates on outcomes. The nonlinear factor analysis enables CoDEAL to effectively capture both cross-sectional and temporal dependencies inherent in the data panel. This latent structural information is subsequently integrated into a customized matrix completion algorithm, thereby facilitating more accurate imputation of missing counterfactual outcomes. Moreover, the use of a multi-output autoencoder explicitly accounts for heterogeneity across units and enhances the model interpretability of the latent factors. We establish theoretical guarantees on the convergence of the estimated counterfactuals, and demonstrate the compelling performance of the proposed method using extensive simulation studies and a real data application.

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