IDEAS home Printed from https://ideas.repec.org/a/eee/jmvana/v198y2023ics0047259x2300057x.html
   My bibliography  Save this article

Uncovering block structures in large rectangular matrices

Author

Listed:
  • Gong, Tingnan
  • Zhang, Weiping
  • Chen, Yu

Abstract

In this article, we proposed a conceptually simple, efficient, and easily implemented approach, named Block-structure Analysis on Rectangular Matrix (BARM), for learning the block structure in a large rectangular data matrix corrupted with random effects and white noise. With the possible unknown order of row or column variables, their group structures can be directly uncovered based on the singular values and singular vectors of the scaled data matrix. We also established the asymptotic properties of the proposed approach under regular conditions. Extensive experimental evaluations also demonstrate the reliability and robustness of the proposed approach.

Suggested Citation

  • Gong, Tingnan & Zhang, Weiping & Chen, Yu, 2023. "Uncovering block structures in large rectangular matrices," Journal of Multivariate Analysis, Elsevier, vol. 198(C).
  • Handle: RePEc:eee:jmvana:v:198:y:2023:i:c:s0047259x2300057x
    DOI: 10.1016/j.jmva.2023.105211
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0047259X2300057X
    Download Restriction: Full text for ScienceDirect subscribers only

    File URL: https://libkey.io/10.1016/j.jmva.2023.105211?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Johnstone, Iain M. & Lu, Arthur Yu, 2009. "On Consistency and Sparsity for Principal Components Analysis in High Dimensions," Journal of the American Statistical Association, American Statistical Association, vol. 104(486), pages 682-693.
    2. Harchaoui, Z. & Lévy-Leduc, C., 2010. "Multiple Change-Point Estimation With a Total Variation Penalty," Journal of the American Statistical Association, American Statistical Association, vol. 105(492), pages 1480-1493.
    3. Ledoit, Olivier & Wolf, Michael, 2003. "Improved estimation of the covariance matrix of stock returns with an application to portfolio selection," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 603-621, December.
    4. repec:taf:jnlbes:v:30:y:2012:i:2:p:212-228 is not listed on IDEAS
    5. Jorge Cadima & Francisco Lage Calheiros & Isabel Preto, 2010. "The eigenstructure of block-structured correlation matrices and its implications for principal component analysis," Journal of Applied Statistics, Taylor & Francis Journals, vol. 37(4), pages 577-589.
    6. Ravi Jagannathan & Tongshu Ma, 2003. "Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps," Journal of Finance, American Finance Association, vol. 58(4), pages 1651-1683, August.
    7. Friedman, Jerome H. & Hastie, Trevor & Tibshirani, Rob, 2010. "Regularization Paths for Generalized Linear Models via Coordinate Descent," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 33(i01).
    8. Perreault, Samuel & Duchesne, Thierry & Nešlehová, Johanna G., 2019. "Detection of block-exchangeable structure in large-scale correlation matrices," Journal of Multivariate Analysis, Elsevier, vol. 169(C), pages 400-422.
    9. Eric C. Chi & Genevera I. Allen & Richard G. Baraniuk, 2017. "Convex biclustering," Biometrics, The International Biometric Society, vol. 73(1), pages 10-19, March.
    10. Yiming Hu & Hongyu Zhao, 2016. "CCor: A whole genome network‐based similarity measure between two genes," Biometrics, The International Biometric Society, vol. 72(4), pages 1216-1225, December.
    11. repec:bla:jfinan:v:58:y:2003:i:4:p:1651-1684 is not listed on IDEAS
    12. Mihee Lee & Haipeng Shen & Jianhua Z. Huang & J. S. Marron, 2010. "Biclustering via Sparse Singular Value Decomposition," Biometrics, The International Biometric Society, vol. 66(4), pages 1087-1095, December.
    13. Bhatia, Parmeet Singh & Iovleff, Serge & Govaert, Gérard, 2017. "blockcluster: An R Package for Model-Based Co-Clustering," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 76(i09).
    14. Rungang Han & Yuetian Luo & Miaoyan Wang & Anru R. Zhang, 2022. "Exact clustering in tensor block model: Statistical optimality and computational limit," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(5), pages 1666-1698, November.
    15. Haifeng Xu & Rasha F. Kashef & Hans De Sterck & Geoffrey Sanders, 2022. "Efficient Algebraic Multigrid Methods for Multilevel Overlapping Coclustering of User-Item Relationships," INFORMS Journal on Computing, INFORMS, vol. 34(3), pages 1587-1605, May.
    16. Weiping Zhang & Baisuo Jin & Zhidong Bai, 2021. "Learning block structures in U-statistic-based matrices [Consistency of AIC and BIC in estimating the number of significant components in high-dimensional principal component analysis]," Biometrika, Biometrika Trust, vol. 108(4), pages 933-946.
    17. Shabalin, Andrey A. & Nobel, Andrew B., 2013. "Reconstruction of a low-rank matrix in the presence of Gaussian noise," Journal of Multivariate Analysis, Elsevier, vol. 118(C), pages 67-76.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Candelon, B. & Hurlin, C. & Tokpavi, S., 2012. "Sampling error and double shrinkage estimation of minimum variance portfolios," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 511-527.
    2. Maillet, Bertrand & Tokpavi, Sessi & Vaucher, Benoit, 2015. "Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach," European Journal of Operational Research, Elsevier, vol. 244(1), pages 289-299.
    3. Caner, Mehmet & Medeiros, Marcelo & Vasconcelos, Gabriel F.R., 2023. "Sharpe Ratio analysis in high dimensions: Residual-based nodewise regression in factor models," Journal of Econometrics, Elsevier, vol. 235(2), pages 393-417.
    4. Aït-Sahalia, Yacine & Xiu, Dacheng, 2017. "Using principal component analysis to estimate a high dimensional factor model with high-frequency data," Journal of Econometrics, Elsevier, vol. 201(2), pages 384-399.
    5. Bertrand Maillet & Sessi Tokpavi & Benoit Vaucher, 2013. "Minimum Variance Portfolio Optimisation under Parameter Uncertainty: A Robust Control Approach," EconomiX Working Papers 2013-28, University of Paris Nanterre, EconomiX.
    6. Mishra, Anil V., 2016. "Foreign bias in Australian-domiciled mutual fund holdings," Pacific-Basin Finance Journal, Elsevier, vol. 39(C), pages 101-123.
    7. Liusha Yang & Romain Couillet & Matthew R. McKay, 2015. "A Robust Statistics Approach to Minimum Variance Portfolio Optimization," Papers 1503.08013, arXiv.org.
    8. Fan, Jianqing & Jiang, Bai & Sun, Qiang, 2022. "Bayesian factor-adjusted sparse regression," Journal of Econometrics, Elsevier, vol. 230(1), pages 3-19.
    9. Fan, Jianqing & Liao, Yuan & Shi, Xiaofeng, 2015. "Risks of large portfolios," Journal of Econometrics, Elsevier, vol. 186(2), pages 367-387.
    10. Seyoung Park & Eun Ryung Lee & Sungchul Lee & Geonwoo Kim, 2019. "Dantzig Type Optimization Method with Applications to Portfolio Selection," Sustainability, MDPI, vol. 11(11), pages 1-32, June.
    11. McDowell, Shaun, 2018. "An empirical evaluation of estimation error reduction strategies applied to international diversification," Journal of Multinational Financial Management, Elsevier, vol. 44(C), pages 1-13.
    12. Sven Husmann & Antoniya Shivarova & Rick Steinert, 2019. "Cross-validated covariance estimators for high-dimensional minimum-variance portfolios," Papers 1910.13960, arXiv.org, revised Oct 2020.
    13. Olivier Ledoit & Michael Wolf, 2003. "Honey, I shrunk the sample covariance matrix," Economics Working Papers 691, Department of Economics and Business, Universitat Pompeu Fabra.
    14. Nikolaus Hautsch & Lada M. Kyj & Peter Malec, 2015. "Do High‐Frequency Data Improve High‐Dimensional Portfolio Allocations?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(2), pages 263-290, March.
    15. Wang, Christina Dan & Chen, Zhao & Lian, Yimin & Chen, Min, 2022. "Asset selection based on high frequency Sharpe ratio," Journal of Econometrics, Elsevier, vol. 227(1), pages 168-188.
    16. Viet Anh Nguyen & Daniel Kuhn & Peyman Mohajerin Esfahani, 2018. "Distributionally Robust Inverse Covariance Estimation: The Wasserstein Shrinkage Estimator," Papers 1805.07194, arXiv.org.
    17. Füss, Roland & Miebs, Felix & Trübenbach, Fabian, 2014. "A jackknife-type estimator for portfolio revision," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 14-28.
    18. Francisco Peñaranda & Enrique Sentana, 2024. "Portfolio management with big data," Working Papers wp2024_2411, CEMFI.
    19. Jaehyung Choi & Hyangju Kim & Young Shin Kim, 2021. "Diversified reward-risk parity in portfolio construction," Papers 2106.09055, arXiv.org, revised Sep 2022.
    20. Hautsch, Nikolaus & Voigt, Stefan, 2019. "Large-scale portfolio allocation under transaction costs and model uncertainty," Journal of Econometrics, Elsevier, vol. 212(1), pages 221-240.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:198:y:2023:i:c:s0047259x2300057x. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.