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A typical approach to the joint analysis of two high-dimensional datasets is to decompose each data matrix into three parts: a low-rank common matrix that captures the shared information across datasets, a low-rank distinctive matrix that characterizes the individual information within a single dataset, and an additive noise matrix. Existing decomposition methods often focus on the orthogonality between the common and distinctive matrices, but inadequately consider the more necessary orthogonal relationship between the two distinctive matrices. The latter guarantees that no more shared information is extractable from the distinctive matrices. We propose decomposition-based canonical correlation analysis (D-CCA), a novel decomposition method that defines the common and distinctive matrices from the space of random variables rather than the conventionally used Euclidean space, with a careful construction of the orthogonal relationship between distinctive matrices. D-CCA represents a natural generalization of the traditional canonical correlation analysis. The proposed estimators of common and distinctive matrices are shown to be consistent and have reasonably better performance than some state-of-the-art methods in both simulated data and the real data analysis of breast cancer data obtained from The Cancer Genome Atlas. Supplementary materials for this article are available online.

This article proposes a procedure to estimate the number of common factors k in a static approximate factor model. The building block of the analysis is the fact that the first k eigenvalues of the covariance matrix of the data diverge, while the others stay bounded. On the grounds of this, we propose a test for the null that the ith eigenvalue diverges, using a randomized test statistic based directly on the estimated eigenvalue. The test only requires minimal assumptions on the data, and no assumptions are required on factors, loadings or idiosyncratic errors. The randomized tests are then employed in a sequential procedure to determine k. Supplementary materials for this article are available online.

Large-scale multiple testing with correlated test statistics arises frequently in much scientific research. Incorporating correlation information in approximating the false discovery proportion (FDP) has attracted increasing attention in recent years. When the covariance matrix of test statistics is known, Fan and his colleagues provided an accurate approximation of the FDP under arbitrary dependence structure and some sparsity assumption. However, the covariance matrix is often unknown in many applications and such dependence information must be estimated before approximating the FDP. The estimation accuracy can greatly affect the FDP approximation. In the current paper, we study theoretically the effect of unknown dependence on the testing procedure and establish a general framework such that the FDP can be well approximated. The effects of unknown dependence on approximating the FDP are in the following two major aspects: through estimating eigenvalues or eigenvectors and through estimating marginal variances. To address the challenges in these two aspects, we firstly develop general requirements on estimates of eigenvalues and eigenvectors for a good approximation of the FDP. We then give conditions on the structures of covariance matrices that satisfy such requirements. Such dependence structures include banded or sparse covariance matrices and (conditional) sparse precision matrices. Within this framework, we also consider a special example to illustrate our method where data are sampled from an approximate factor model, which encompasses most practical situations. We provide a good approximation of the FDP via exploiting this specific dependence structure. The results are further generalized to the situation where the multivariate normality assumption is relaxed. Our results are demonstrated by simulation studies and some real data applications.