Entrywise Recovery Guarantees for Sparse PCA via Sparsistent Algorithms

Joshua Agterberg · Jeremias Sulam

[ Abstract ]
Wed 30 Mar 8:30 a.m. PDT — 10 a.m. PDT

Abstract: Sparse Principal Component Analysis (PCA) is a prevalent tool across a plethora of subfield of applied statistics. While several results have characterized the recovery error of the principal eigenvectors, these are typically in spectral or Frobenius norms. In this paper, we provide entrywise $\ell_{2,\infty}$ bounds for Sparse PCA under a general high-dimensional subgaussian design. In particular, our bounds hold for any algorithm that selects the correct support with high probability, those that are sparsistent. Our bound improves upon known results by providing a finer characterization of the estimation error, and our proof uses techniques recently developed for entrywise subspace perturbation theory.

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