Heterogeneous data are now ubiquitous in many applications in which correctly identifying the subgroups from a heterogeneous population is critical. Although there is an increasing body of literature on subgroup detection, existing methods mainly focus on the univariate response setting. In this paper, we propose a joint heterogeneity and reduced-rank learning framework to simultaneously identify the subgroup structure and estimate the covariate effects for heterogeneous multivariate response regression. In particular, our approach uses rank-constrained pairwise fusion penalization and conducts the subgroup analysis without requiring prior knowledge regarding the individual subgroup memberships. We implement the proposed approach by an alternating direction method of multipliers (ADMM) algorithm and show its convergence. We also establish the asymptotic properties for the resulting estimators under mild and interpretable conditions. A predictive information criterion is proposed to select the rank of the coefficient matrix with theoretical support. The effectiveness of the proposed approach is demonstrated through simulation studies and a real data application.
翻译:异质数据在众多应用场景中已普遍存在,其中准确识别异质总体中的子群结构至关重要。尽管关于子群检测的文献日益增多,现有方法主要集中于单变量响应设定。本文提出一种联合异质性与降秩学习框架,旨在同时识别子群结构并估计异质多元响应回归中的协变量效应。具体而言,该方法采用秩约束的成对融合惩罚技术,在无需预先获知个体子群归属信息的前提下进行子群分析。我们通过交替方向乘子法(ADMM)算法实现所提方法,并证明其收敛性。同时,在温和且可解释的条件下建立了所得估计量的渐近性质。为选择系数矩阵的秩,本文提出具有理论支撑的预测信息准则。通过模拟研究与实际数据应用,验证了所提方法的有效性。