Empirical Bayes Poisson matrix completion

Xiao Li, Takeru Matsuda and Fumiyasu Komaki

Computational Statistics & Data Analysis, 2024, vol. 197, issue C

Abstract: An empirical Bayes method for the Poisson matrix denoising and completion problems is proposed, and a corresponding algorithm called EBPM (Empirical Bayes Poisson Matrix) is developed. This approach is motivated by the non-central singular value shrinkage prior, which was used for the estimation of the mean matrix parameter of a matrix-variate normal distribution. Numerical experiments show that the EBPM algorithm outperforms the common nuclear norm penalized method in both matrix denoising and completion. The EBPM algorithm is highly efficient and does not require heuristic parameter tuning, as opposed to the nuclear norm penalized method, in which the regularization parameter should be selected. The EBPM algorithm also performs better than others in real-data applications.

Keywords: Empirical Bayes; Moment estimator; Matrix denoising; Matrix completion; Singular value shrinkage (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:197:y:2024:i:c:s0167947324000604

DOI: 10.1016/j.csda.2024.107976

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