Beyond Sin-Squared Error: Linear Time Entrywise Uncertainty Quantification for Streaming PCA

Syamantak Kumar, Shourya Pandey, Purnamrita Sarkar

Keywords: Statistical Inference, Linear time, Oja, Entrywise, Streaming PCA, Uncertainty Quantification

TL;DR: We develop a linear time statistical inference framework for Streaming PCA using Oja’s Algorithm, providing entrywise confidence intervals via a fast variance estimator.

Abstract: We propose a novel statistical inference framework for streaming principal component analysis (PCA) using Oja’s algorithm, enabling the construction of confidence intervals for individual entries of the estimated eigenvector. Most existing works on streaming PCA focus on providing sharp sin-squared error guarantees. Recently, there has been some interest in uncertainty quantification for the sin-squared error. However, uncertainty quantification or sharp error guarantees for _entries of the estimated eigenvector_ in the streaming setting remains largely unexplored. We derive a sharp Bernstein-type concentration bound for elements of the estimated vector matching the optimal error rate up to logarithmic factors. We also establish a Central Limit Theorem for a suitably centered and scaled subset of the entries. To efficiently estimate the coordinate-wise variance, we introduce a provably consistent subsampling algorithm that leverages the median-of-means approach, empirically achieving similar accuracy to multiplier bootstrap methods while being significantly more computationally efficient. Numerical experiments demonstrate its effectiveness in providing reliable uncertainty estimates with a fraction of the computational cost of existing methods.

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Submission Number: 820