Electronic Journal of Statistics

Supervised dimensionality reduction via distance correlation maximization

Praneeth Vepakomma, Chetan Tonde, and Ahmed Elgammal

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In our work, we propose a novel formulation for supervised dimensionality reduction based on a nonlinear dependency criterion called Statistical Distance Correlation, (Székely et al., 2007). We propose an objective which is free of distributional assumptions on regression variables and regression model assumptions. Our proposed formulation is based on learning a low-dimensional feature representation $\mathbf{z}$, which maximizes the squared sum of Distance Correlations between low-dimensional features $\mathbf{z}$ and response $y$, and also between features $\mathbf{z}$ and covariates $\mathbf{x}$. We propose a novel algorithm to optimize our proposed objective using the Generalized Minimization Maximization method of (Parizi et al., 2015). We show superior empirical results on multiple datasets proving the effectiveness of our proposed approach over several relevant state-of-the-art supervised dimensionality reduction methods.

Article information

Electron. J. Statist., Volume 12, Number 1 (2018), 960-984.

Received: November 2016
First available in Project Euclid: 9 March 2018

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Zentralblatt MATH identifier

Distance correlation multivariate statistical independence minorization maximization supervised dimensionality reduction fixed point iteration optimization representation learning

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Vepakomma, Praneeth; Tonde, Chetan; Elgammal, Ahmed. Supervised dimensionality reduction via distance correlation maximization. Electron. J. Statist. 12 (2018), no. 1, 960--984. doi:10.1214/18-EJS1403. https://projecteuclid.org/euclid.ejs/1520586206

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