High dimensional regression using the sparse matrix transform (SMT)

Regression from high dimensional observation vectors is particularly difficult when training data is limited. More specifically, if the number of sample vectors n is less than dimension of the sample vectors p, then accurate regression is difficult to perform without prior knowledge of the data covariance. In this paper, we propose a novel approach to high dimensional regression for application when n ≪ p. The approach works by first decorrelating the high dimensional observation vector using the sparse matrix transform (SMT) estimate of the data covariance. Then the decorrelated observations are used in a regularized regression procedure such as Lasso or shrinkage. Numerical results demonstrate that the proposed regression approach can significantly improve the prediction accuracy, especially when n is small and the signal to be predicted lies in the subspace of the observations corresponding to the small eigenvalues.