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Multiple sets of measurements on the same objects obtained from different platforms may reflect partially complementary information of the studied system. The integrative analysis of such data sets not only provides us with the opportunity of a deeper understanding of the studied system but also introduces some new statistical challenges. First, the separation of information that is common across all or some of the data sets and the information that is specific to each data set is problematic. Furthermore, these data sets are often a mix of quantitative and discrete (binary or categorical) data types, while commonly used data fusion methods require all data sets to be quantitative. In this paper, we propose an exponential family simultaneous component analysis (ESCA) model to tackle the potential mixed data types problem of multiple data sets. In addition, a structured sparse pattern of the loading matrix is induced through a nearly unbiased group concave penalty to disentangle the global, local common, and distinct information of the multiple data sets. A Majorization‐Minimization–based algorithm is derived to fit the proposed model. Analytic solutions are derived for updating all the parameters of the model in each iteration, and the algorithm will decrease the objective function in each iteration monotonically. For model selection, a missing value–based cross validation procedure is implemented. The advantages of the proposed method in comparison with other approaches are assessed using comprehensive simulations as well as the analysis of real data from a chronic lymphocytic leukaemia (CLL) study.

Separating common (global and local) and distinct variation in multiple mixed types data sets