Inverse finite-size scaling for high-dimensional significance analysis
Yingying Xu, Santeri Puranen, Jukka Corander, Yoshiyuki Kabashima · Physical review. E · 2018
We propose an efficient procedure for significance determination in high-dimensional dependence learning based on surrogate data testing, termed inverse finite-size scaling (IFSS). The IFSS method is based on our discovery of a universal scaling property of random matrices which enables inference about signal behavior from much smaller scale surrogate data than the dimensionality of the original data. As a motivating example, we demonstrate the procedure for ultra-high-dimensional Potts models with order of 10^{10} parameters. IFSS reduces the computational effort of the data-testing procedure by several orders of magnitude, making it very efficient for practical purposes. This approach thus holds considerable potential for generalization to other types of complex models.