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High Dimensional Example of MultiRFM

Wei Liu

2025-11-28

This vignette introduces the usage of MultiRFM for the analysis of high-dimensional multi-study multivariate data with heavy tail, by comparison with other methods.

The package can be loaded with the command, and define some metric functions:

library(MultiRFM)
trace_statistic_fun <- function(H, H0){

  tr_fun <- function(x) sum(diag(x))
  mat1 <- t(H0) %*% H %*% qr.solve(t(H) %*% H) %*% t(H) %*% H0

  tr_fun(mat1) / tr_fun(t(H0) %*% H0)

}
trace_list_fun <- function(Hlist, H0list){
  trvec <- rep(NA, length(Hlist))
  for(i in seq_along(trvec)){
    trvec[i] <- trace_statistic_fun(Hlist[[i]], H0list[[i]])
  }
  return(mean(trvec))
}

Generate the simulated data

First, we generate the simulated data with heavy tail, where the error term follows from a multivariate t-distribution with degree of freedom 2.

nu <- 2 # nu is set to 
p <- 400
nvec <- c(150,200);  q <- 3;qs <- c(2,2); S <- length(nvec)
sigma2_eps <- 1
datList <- gendata_simu_multi(seed=1, nvec=nvec, p=p, q=q, qs=qs, rho=c(5,5), err.type='mvt', sigma2_eps = sigma2_eps, nu=nu)

Fit the MultiRFM model using the function MultiRFM() in the R package MultiRFM. Users can use ?MultiRFM to see the details about this function. For two matrices \(\widehat D\) and \(D\), we use trace statistic to measure their similarity. The trace statistic ranges from 0 to 1, with higher values indicating better performance.

methodNames <- c("MultiRFM", "MSFA-CAVI", "MSFA-SVI")
metricMat <- matrix(NA, nrow=length(methodNames), ncol=5)
colnames(metricMat) <- c('A_tr', 'B_tr',  'F_tr', 'H_tr', 'Time')
row.names(metricMat) <- methodNames
XList <- datList$Xlist;

res <- MultiRFM(XList, q=q, qs=qs)
#str(res)
metricMat["MultiRFM",'Time'] <- res$time_use
metricMat["MultiRFM",'A_tr'] <- trace_statistic_fun(res$A, datList$A0)
metricMat["MultiRFM",'B_tr'] <- trace_list_fun(res$B, datList$Blist0)
metricMat["MultiRFM",'F_tr'] <- trace_list_fun(res$F, datList$Flist)
metricMat["MultiRFM",'H_tr'] <- trace_list_fun(res$H, datList$Hlist)

Compare with other methods

We compare MultiRFM with two prominent methods: MSFA-CAVI and MSFA-SVI

First, we implement MSFA-CAVI:

  X_s <- lapply(XList, scale, scale=FALSE)
  hmu <- sapply(XList, colMeans)
  library(VIMSFA)
  ### MSFA-CAVI
  print("MSFA-CAVI")
  tic <- proc.time()
  cavi_est <- cavi_msfa(X_s,  K=q, J_s=qs)
  toc <- proc.time()
  time_cavi <- toc[3] - tic[3]
  hLam <- Reduce(cbind, cavi_est$mean_psi_s)
  hF_cavi <- hH_cavi <- list()
  for(s in 1:S){
    # s <- 1
    hF_cavi[[s]] <- t(Reduce(cbind, cavi_est$mean_f[[s]]))
    hH_cavi[[s]] <- t(Reduce(cbind, cavi_est$mean_l[[s]]))
  }
  
  metricMat["MSFA-CAVI",'Time']  <- time_cavi
  metricMat["MSFA-CAVI",'A_tr']  <- trace_statistic_fun(cavi_est$mean_phi, datList$A0)
  metricMat["MSFA-CAVI",'B_tr']  <- trace_list_fun(cavi_est$mean_lambda_s, datList$Blist0)
  metricMat["MSFA-CAVI",'F_tr'] <- trace_list_fun(hF_cavi, datList$Flist)
  metricMat["MSFA-CAVI",'H_tr'] <- trace_list_fun(hH_cavi, datList$Hlist)

Next, we implement MSFA-SVI:

  print("MSFA-SVI")
  tic <- proc.time()
  svi_est <- svi_msfa(X_s, K=q, J_s=qs, verbose = 0)
  toc <- proc.time()
  time_svi <- toc[3] - tic[3]
  hLam <- Reduce(cbind, svi_est$mean_psi_s)
  hF_cavi <- hH_cavi <- list()
  for(s in 1:S){
    # s <- 1
    hF_cavi[[s]] <- t(Reduce(cbind, svi_est$mean_f[[s]]))
    hH_cavi[[s]] <- t(Reduce(cbind, svi_est$mean_l[[s]]))
  }
  
  metricMat["MSFA-SVI",'Time']  <- time_cavi
  metricMat["MSFA-SVI",'A_tr']  <- trace_statistic_fun(svi_est$mean_phi, datList$A0)
  metricMat["MSFA-SVI",'B_tr']  <- trace_list_fun(svi_est$mean_lambda_s, datList$Blist0)
  metricMat["MSFA-SVI",'F_tr'] <- trace_list_fun(hF_cavi, datList$Flist)
  metricMat["MSFA-SVI",'H_tr'] <- trace_list_fun(hH_cavi, datList$Hlist)

Visualize the comparison of performance

Next, we summarized the metrics for MultiRFM and other compared methods in a data.frame object.



dat_metric <- data.frame(metricMat)
dat_metric$Method <- factor(row.names(dat_metric), levels=row.names(dat_metric))

Plot the results for MultiRFM and other methods, which suggests that MultiRFM achieves better estimation accuracy for the study-shared loading matrix A, study-specified loading matrix B and factor matrix H. MultiRFM significantly outperforms the compared methods in terms of estimation accuracy of B and H, as well as computational efficiency. The compared methods nearly failed to recover the study-specified loading and factor matrices.

library(cowplot)
library(ggplot2)
p1 <- ggplot(data=subset(dat_metric, !is.na(A_tr)), aes(x= Method, y=A_tr, fill=Method)) + geom_bar(stat="identity") + xlab(NULL) + scale_x_discrete(breaks=NULL) + theme_bw(base_size = 16)
p2 <- ggplot(data=subset(dat_metric, !is.na(F_tr)), aes(x= Method, y=F_tr, fill=Method)) + geom_bar(stat="identity") + xlab(NULL) + scale_x_discrete(breaks=NULL)+ theme_bw(base_size = 16)
p3 <- ggplot(data=subset(dat_metric, !is.na(B_tr)), aes(x= Method, y=B_tr, fill=Method)) + geom_bar(stat="identity") + xlab(NULL) + scale_x_discrete(breaks=NULL) + theme_bw(base_size = 16)
p4 <- ggplot(data=subset(dat_metric, !is.na(H_tr)), aes(x= Method, y=H_tr, fill=Method)) + geom_bar(stat="identity") + xlab(NULL) + scale_x_discrete(breaks=NULL)+ theme_bw(base_size = 16)
p5 <- ggplot(data=subset(dat_metric, !is.na(Time)), aes(x= Method, y=Time, fill=Method)) + geom_bar(stat="identity") + xlab(NULL) + scale_x_discrete(breaks=NULL)+ theme_bw(base_size = 16)
plot_grid(p1,p2,p3, p4,  p5, nrow=2, ncol=3)

Select the parameters

We applied the proposed ‘CUP’ method to select the number of factors. The results showed that the CUP method has the potential to identify the true values.


datList <- gendata_simu_multi(seed=1, nvec=nvec, p=p, q=q, qs=qs, rho=c(5,5), err.type='mvt', sigma2_eps = 
                                sigma2_eps, nu=3)
XList <- datList$Xlist;
q_max <- 6; qs_max <- 4
hq.list <- selectFac.MultiRFM(XList,  q_max=q_max, qs_max=qs_max, verbose = FALSE)
message("hq = ", hq.list$q, " VS true q = ", q)
message("hqs.vec = ", paste(hq.list$qs, collapse =", "), " VS true qs.vec = ", paste(qs, collapse =", "))
Session Info 
sessionInfo()
#> R version 4.4.1 (2024-06-14 ucrt)
#> Platform: x86_64-w64-mingw32/x64
#> Running under: Windows 11 x64 (build 26100)
#> 
#> Matrix products: default
#> 
#> 
#> locale:
#> [1] LC_COLLATE=C                               
#> [2] LC_CTYPE=Chinese (Simplified)_China.utf8   
#> [3] LC_MONETARY=Chinese (Simplified)_China.utf8
#> [4] LC_NUMERIC=C                               
#> [5] LC_TIME=Chinese (Simplified)_China.utf8    
#> 
#> time zone: Asia/Shanghai
#> tzcode source: internal
#> 
#> attached base packages:
#> [1] stats     graphics  grDevices utils     datasets  methods   base     
#> 
#> loaded via a namespace (and not attached):
#>  [1] digest_0.6.37     R6_2.5.1          fastmap_1.2.0     xfun_0.47        
#>  [5] cachem_1.1.0      knitr_1.48        htmltools_0.5.8.1 rmarkdown_2.28   
#>  [9] lifecycle_1.0.4   cli_3.6.3         sass_0.4.9        jquerylib_0.1.4  
#> [13] compiler_4.4.1    rstudioapi_0.16.0 tools_4.4.1       evaluate_1.0.0   
#> [17] bslib_0.8.0       yaml_2.3.10       rlang_1.1.4       jsonlite_1.8.9

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