Spectral decomposition-assisted multi-study factor analysis

TL;DR

This paper introduces a spectral decomposition-based method for multi-study factor analysis that improves computational efficiency and scalability while providing strong theoretical guarantees.

Contribution

It proposes a novel spectral decomposition approach for separating shared and study-specific factors, enhancing speed and stability over existing Bayesian methods.

Findings

Faster computation and better scalability compared to Bayesian competitors.

Strong frequentist guarantees with asymptotic properties.

Effective in real-world gene association studies.

Abstract

This article focuses on covariance estimation for multi-study data. Popular approaches employ factor-analytic terms with shared and study-specific loadings that decompose the variance into (i) a shared low-rank component, (ii) study-specific low-rank components, and (iii) a diagonal term capturing idiosyncratic variability. Our proposed methodology estimates the latent factors via spectral decompositions, with a novel approach for separating shared and specific factors, and infers the factor loadings and residual variances via surrogate Bayesian regressions. The resulting posterior has a simple product form across outcomes, bypassing the need for Markov chain Monte Carlo sampling and facilitating parallelization. The proposed methodology has major advantages over current Bayesian competitors in terms of computational speed, scalability and stability while also having strong frequentist guarantees. The theory and methods also add to the rich literature on frequentist methods for factor models with shared and group-specific components of variation. The approximation error decreases as the sample size and the data dimension diverge, formalizing a blessing of dimensionality. We show favorable asymptotic properties, including central limit theorems for point estimators and posterior contraction, and excellent empirical performance in simulations. The methods are applied to integrate three studies on gene associations among immune cells.