Generalized Co-sparse Factor Regression

Abstract: Multivariate regression techniques are commonly applied to explore the associations between large numbers of outcomes and predictors. In real-world applications, the outcomes are often of mixed types, including continuous measurements, binary indicators, and counts, and the observations may also be incomplete. Building upon the recent advances in mixed-outcome modeling and sparse matrix factorization, generalized co-sparse factor regression (GOFAR) is proposed, which utilizes the flexible vector generalized linear model framework and encodes the outcome dependency through a sparse singular value decomposition (SSVD) of the integrated natural parameter matrix. To avoid the estimation of the notoriously difficult joint SSVD, GOFAR proposes both sequential and parallel unit-rank estimation procedures. By combining the ideas of alternating convex search and majorization-minimization, an efficient algorithm with guaranteed convergence is developed to solve the sparse unit-rank problem and implemented in the R package gofar. Extensive simulation studies and two real-world applications demonstrate the effectiveness of the proposed approach.