相关尖峰模型中的谱阈值与偏最小二乘的基本极限
Spectral Thresholds in Correlated Spiked Models and Fundamental Limits of Partial Least Squares
Pierre Mergny, Lenka Zdeborová
AI 速读 基于摘要
该文用随机矩阵理论分析两通道信号部分对齐的尖峰互协方差模型,刻画样本互协方差矩阵奇异值的BBP型相变阈值,并给出偏最小二乘(PLS)信号恢复能力的渐近描述。
math.ST · cond-mat.dis-nn · cs.LG · stat.ML
查看原文摘要
We provide a rigorous random matrix theory analysis of spiked cross-covariance models where the signals across two high-dimensional data channels are partially aligned. These models are motivated by multi-modal learning and form the standard generative setting underlying Partial Least Squares (PLS), a widely used yet theoretically underdeveloped method. We show that the leading singular values of the sample cross-covariance matrix undergo a Baik-Ben Arous-Peche (BBP)-type phase transition, and we characterize the precise thresholds for the emergence of informative components. Our results yield the first sharp asymptotic description of the signal recovery capabilities of PLS in this setting, revealing a fundamental performance gap between PLS and the Bayes-optimal estimator. In particular, we identify the SNR and correlation regimes where PLS fails to recover any signal, despite detectability being possible in principle. These findings clarify the theoretical limits of PLS and provide guidance for the design of reliable multi-modal inference methods in high dimensions.