On Support Recovery with Sparse CCA: Information Theoretic and Computational Limits.

In this paper, we consider asymptotically exact support recovery in the context of high dimensional and sparse Canonical Correlation Analysis (CCA). Our main results describe four regimes of interest based on information theoretic and computational considerations. In regimes of "low" sparsity we describe a simple, general, and computationally easy method for support recovery, whereas in a regime of "high" sparsity, it turns out that support recovery is information theoretically impossible. For the sake of information theoretic lower bounds, our results also demonstrate a non-trivial requirement on the "minimal" size of the nonzero elements of the canonical vectors that is required for asymptotically consistent support recovery. Subsequently, the regime of "moderate" sparsity is further divided into two subregimes. In the lower of the two sparsity regimes, we show that polynomial time support recovery is possible by using a sharp analysis of a co-ordinate thresholding [1] type method. In contrast, in the higher end of the moderate sparsity regime, appealing to the "Low Degree Polynomial" Conjecture [2], we provide evidence that polynomial time support recovery methods are inconsistent. Finally, we carry out numerical experiments to compare the efficacy of various methods discussed.