In this paper, we propose a new Bayesian inference method for a high-dimensional sparse factor model that allows both the factor dimensionality and the sparse structure of the loading matrix to be inferred. The novelty is to introduce a certain dependence between the sparsity level and the factor dimensionality, which leads to adaptive posterior concentration while keeping computational tractability. We show that the posterior distribution asymptotically concentrates on the true factor dimensionality, and more importantly, this posterior consistency is adaptive to the sparsity level of the true loading matrix and the noise variance. We also prove that the proposed Bayesian model attains the optimal detection rate of the factor dimensionality in a more general situation than those found in the literature. Moreover, we obtain a near-optimal posterior concentration rate of the covariance matrix. Numerical studies are conducted and show the superiority of the proposed method compared with other competitors.

本文提出了一种用于高维稀疏因子模型的新贝叶斯推理方法，该方法允许推断因子维数和载荷矩阵的稀疏结构；介绍了一种特定的依赖关系，使得后验分布在保持计算可行性的同时自适应聚焦于正确的因子维度和载荷矩阵的稀疏水平；数值研究表明该方法表现优异。

具有自适应后验浓度的贝叶斯稀疏因子模型