Date of Original Version



Conference Proceeding

Abstract or Description

We study sparse principal components analysis in the high-dimensional setting, where p (the number of variables) can be much larger than n (the number of observations). We prove optimal, non-asymptotic lower and upper bounds on the minimax estimation error for the leading eigenvector when it belongs to an q ball for q ∈ [0, 1]. Our bounds are sharp in p and n for all q∈ ! [0, 1] over a wide class of distributions. The upper bound is obtained by analyzing the performance of q constrained PCA. In particular, our results provide convergence rates for 1-constrained PCA.



Published In

Proceedings of the 15th International Conference on Artificial Intelligence and Statistics (AISTATS) JMLR: W&CP 22., 22.