Dimensionality Reduction

This paper presents Orthogonal Subspace Clustering (OSC), an innovative method for high-dimensional data clustering. We first establish a theoretical theorem proving that high-dimensional data can be decomposed into orthogonal subspaces in a statistical sense, whose form exactly matches the paradigm of Q-type factor analysis. This theorem lays a solid mathematical foundation for dimensionality reduction via matrix decomposition and factor analysis. Based on this theorem, we propose the OSC framework to address the "curse of dimensionality" -- a critical challenge that degrades clustering effectiveness due to sample sparsity and ineffective distance metrics. OSC integrates orthogonal subspace construction with classical clustering techniques, introducing a data-driven mechanism to select the subspace dimension based on cumulative variance contribution. This avoids manual selection biases while maximizing the retention of discriminative information. By projecting high-dimensional data into an uncorrelated, low-dimensional orthogonal subspace, OSC significantly improves clustering efficiency, robustness, and accuracy. Extensive experiments on various benchmark datasets demonstrate the effectiveness of OSC, with thorough analysis of evaluation metrics including Cluster Accuracy (ACC), Normalized Mutual Information (NMI), and Adjusted Rand Index (ARI) highlighting its advantages over existing methods.

Sparse principal component analysis (SPCA) addresses the poor interpretability and variable redundancy often encountered by principal component analysis (PCA) in high-dimensional data. However, SPCA typically imposes uniform penalties on variables and does not account for differences in variable importance, which may lead to unstable performance in highly noisy or structurally complex settings. We propose SP-SPCA, a method that introduces a single equilibrium parameter into the regularization framework to adaptively adjust variable penalties. This modification of the L2 penalty provides flexible control over the trade-off between sparsity and explained variance while maintaining computational efficiency. Simulation studies show that the proposed method consistently outperforms standard sparse principal component methods in identifying sparse loading patterns, filtering noise variables, and preserving cumulative variance, especially in high-dimensional and noisy settings. Empirical applications to crime and financial market data further demonstrate its practical utility. In real data analyses, the method selects fewer but more relevant variables, thereby reducing model complexity while maintaining explanatory power. Overall, the proposed approach offers a robust and efficient alternative for sparse modeling in complex high-dimensional data, with clear advantages in stability, feature selection, and interpretability

Constructing reduced-order models (ROMs) capable of efficiently predicting the evolution of parameter-dependent high-dimensional dynamical systems is crucial in many applications in engineering and applied sciences. A popular class of projection-based ROMs projects the high-dimensional full-order model (FOM) dynamics onto a low-dimensional manifold. These projection-based ROMs approaches often rely on classical model reduction techniques such as proper orthogonal decomposition (POD) or, more recently, on neural network architectures such as autoencoders (AEs). In the case that the ROM is constructed by the POD, one has approximation guaranteed based based on the singular values of the problem at hand. However, POD-based techniques can suffer from slow decay of the singular values in transport- and advection-dominated problems. In contrast to that, AEs allow for better reduction capabilities than the POD, often with the first few modes, but at the price of theoretical considerations. In addition, it is often observed, that AEs exhibits a plateau of the projection error with the increment of the dimension of the trial manifold. In this work, we propose an invertible AE architecture, named inv-AE, that computationally improves upon the stagnation of the reconstruction error typical of traditional AE architectures. Inv-AE is composed of several invertible neural network layers that allows for gradually recovering more information about the FOM solutions the more we increase the dimension of the reduced manifold. Through the application of inv-AE to a 1-dimensional Burgers' equation, a 2-dimensional fluid flow around an obstacle with variable geometry, and a 3-dimensional Korteweg-de Vries, we show that (i) inv-AE mitigates the issue of the characteristic plateau of AEs and (ii) inv-AE can be combined with popular autoencoder-based ROM approaches, e.g., DL-ROM, to improve their accuracy.

Surrogate models provide compact relations between user-defined input parameters and output quantities of interest, enabling the efficient evaluation of complex parametric systems in many-query settings. Such capabilities are essential in a wide range of applications, including optimisation, control, data assimilation, uncertainty quantification, and emerging digital twin technologies in various fields such as manufacturing, personalised healthcare, smart cities, and sustainability. This article reviews established methodologies for constructing surrogate models exploiting either knowledge of the governing laws and the dynamical structure of the system (physics-based) or experimental observations (data-driven), as well as hybrid approaches combining these two paradigms. By revisiting the design of a surrogate model as a functional approximation problem, existing methodologies are reviewed in terms of the choice of (i) a reduced basis and (ii) a suitable approximation criterion. The paper reviews methodologies pertaining to the field of Scientific Machine Learning, and it aims at synthesising established knowledge, recent advances, and new perspectives on: dimensionality reduction, physics-based, and data-driven surrogate modelling based on proper orthogonal decomposition, proper generalised decomposition, and artificial neural networks; multi-fidelity methods to exploit information from sources with different fidelities; adaptive sampling, enrichment, and data augmentation techniques to enhance the quality of surrogate models.

Manifold learning is a fundamental task at the core of data analysis and visualisation. It aims to capture the simple underlying structure of complex high-dimensional data by preserving pairwise dissimilarities in low-dimensional embeddings. Traditional methods rely on symmetric Riemannian geometry, thus forcing symmetric dissimilarities and embedding spaces, e.g. Euclidean. However, this discards in practice valuable asymmetric information inherent to the non-uniformity of data samples. We suggest to harness this asymmetry by switching to Finsler geometry, an asymmetric generalisation of Riemannian geometry, and propose a Finsler manifold learning pipeline that constructs asymmetric dissimilarities and embeds in a Finsler space. This greatly broadens the applicability of existing asymmetric embedders beyond traditionally directed data to any data. We also modernise asymmetric embedders by generalising current reference methods to asymmetry, like Finsler t-SNE and Finsler Umap. On controlled synthetic and large real datasets, we show that our asymmetric pipeline reveals valuable information lost in the traditional pipeline, e.g. density hierarchies, and consistently provides superior quality embeddings than their Euclidean counterparts.

Dimensionality reduction is a foundational tool for visualizing high-dimensional data, yet its reference implementations span a fragmented stack of CPU-bound Python packages that leaves the Metal GPU on Apple Silicon entirely unused. We present mlx-vis, a library that reimplements seven widely used dimensionality reduction methods and k-nearest neighbor graph construction in pure MLX, with every stage -- from PCA preprocessing through embedding optimization to a circle-splatting renderer -- executing on GPU. On Fashion-MNIST 70K, all seven methods embed in 2.1--4.6 s on an M3 Ultra, achieving 3--13x speedups over CPU baselines while reducing the entire dependency stack to MLX and NumPy. The same pipeline scales to ten million points on a single workstation. Code at https://github.com/hanxiao/mlx-vis

In 2018, McInnes et al. introduced a dimensionality reduction algorithm called UMAP, which enjoys wide popularity among data scientists. Their work introduces a finite variant of a functor called the metric realization, based on an unpublished draft by Spivak. This draft contains many errors, most of which are reproduced by McInnes et al. and subsequent publications. This article aims to repair these errors and provide a self-contained document with the full derivation of Spivak's functors and McInnes et al.'s finite variant. We contribute an explicit description of the metric realization and related functors. At the end, we discuss the UMAP algorithm, as well as claims about properties of the algorithm and the correspondence of McInnes et al.'s finite variant to the UMAP algorithm.

Uniform Manifold Approximation and Projection (UMAP) is a widely used manifold learning technique for dimensionality reduction. This paper studies UMAP, supervised UMAP, and several competing dimensionality reduction methods, including Principal Component Analysis (PCA), Kernel PCA, Sliced Inverse Regression (SIR), Kernel SIR, and t-distributed Stochastic Neighbor Embedding, through a comprehensive comparative analysis. Although UMAP has attracted substantial attention for preserving local and global structures, its supervised extensions, particularly for regression settings, remain rather underexplored. We provide a systematic evaluation of supervised UMAP for both regression and classification using simulated and real datasets, with performance assessed via predictive accuracy on low-dimensional embeddings. Our results show that supervised UMAP performs well for classification but exhibits limitations in effectively incorporating response information for regression, highlighting an important direction for future development.

High-dimensional images, or images with a high-dimensional attribute vector per pixel, are commonly explored with coordinated views of a low-dimensional embedding of the attribute space and a conventional image representation. Nowadays, such images can easily contain several million pixels. For such large datasets, hierarchical embedding techniques are better suited to represent the high-dimensional attribute space than flat dimensionality reduction methods. However, available hierarchical dimensionality reduction methods construct the hierarchy purely based on the attribute information and ignore the spatial layout of pixels in the images. This impedes the exploration of regions of interest in the image space, since there is no congruence between a region of interest in image space and the associated attribute abstractions in the hierarchy. In this paper, we present a superpixel hierarchy for high-dimensional images that takes the high-dimensional attribute manifold into account during construction. Through this, our method enables consistent exploration of high-dimensional images in both image and attribute space. We show the effectiveness of this new image-guided hierarchy in the context of embedding exploration by comparing it with classical hierarchical embedding-based image exploration in two use cases.

While nowadays visual anomaly detection algorithms use deep neural networks to extract salient features from images, the high dimensionality of extracted features makes it difficult to apply those algorithms to large data with 1000s of images. To address this issue, we present an incremental dimension reduction algorithm to reduce the extracted features. While our algorithm essentially computes truncated singular value decomposition of these features, other than processing all vectors at once, our algorithm groups the vectors into batches. At each batch, our algorithm updates the truncated singular values and vectors that represent all visited vectors, and reduces each batch by its own singular values and vectors so they can be stored in the memory with low overhead. After processing all batches, we re-transform these batch-wise singular vectors to the space spanned by the singular vectors of all features. We show that our algorithm can accelerate the training of state-of-the-art anomaly detection algorithm with close accuracy.

Modern datasets often contain ballast as redundant or low-utility information that increases dimensionality, storage requirements, and computational cost without contributing meaningful analytical value. This study introduces a generalized, multimodal framework for ballast detection and reduction across structured, semi-structured, unstructured, and sparse data types. Using diverse datasets, entropy, mutual information, Lasso, SHAP, PCA, topic modelling, and embedding analysis are applied to identify and eliminate ballast features. A novel Ballast Score is proposed to integrate these signals into a unified, cross-modal pruning strategy. Experimental results demonstrate that significant portions of the feature space as often exceeding 70% in sparse or semi-structured data, can be pruned with minimal or even improved classification performance, along with substantial reductions in training time and memory footprint. The framework reveals distinct ballast typologies (e.g. statistical, semantic, infrastructural), and offers practical guidance for leaner, more efficient machine learning pipelines.

Standard Transformer attention uses identical dimensionality for queries, keys, and values, yet these components serve different roles: queries and keys produce scalar attention weights (selection), while values carry rich representations (value transfer). We show that selection requires only $O(\log N)$ dimensions to distinguish among $N$ relevant token categories (e.g., syntactic roles, semantic clusters, positional patterns) -- far fewer than value transfer needs. We introduce factored keys, which exploit this asymmetry to physically shrink the KV cache of any pretrained model without retraining from scratch -- unlike Grouped-Query Attention (GQA) and Multi-Head Latent Attention (MLA), which must be designed into the architecture before pretraining. We factorize each key projection $W_K \approx A_{d \times r} B_{r \times d}$ via truncated singular value decomposition (SVD) (where $r$ is the chosen compression dimension), set $W_K' = A$ as the new key projection producing compact $r$-dimensional keys for the cache, and absorb $B^\top$ into the query projection ($W_Q' = W_Q B^\top$) at zero cost -- since queries are never cached. At the 7B scale, training from scratch with $r = d/4$ (where $d$ is the model dimension) matches full-attention perplexity ($9.24$ vs $9.25$ PPL after 20B tokens, mean over two seeds) while using 12% fewer parameters and training 8% faster. For existing models, SVD followed by QK fine-tuning (3 epochs, less than 1% of pretraining data) achieves 75% key cache savings at roughly 2% quality cost on both GPT-2 and Mistral-7B. The approach composes with GQA and quantization for up to $16\times$ combined key cache compression. For a 7B model serving a 128K context, factored keys save 25 GB of KV cache per user, enabling roughly 60% more concurrent users on identical hardware.

We propose a multi-dimensional persistent sheaf Laplacian (MPSL) framework on simplicial complexes for image analysis. The proposed method is motivated by the strong sensitivity of commonly used dimensionality reduction techniques, such as principal component analysis (PCA), to the choice of reduced dimension. Rather than selecting a single reduced dimension or averaging results across dimensions, we exploit complementary advantages of multiple reduced dimensions. At a given dimension, image samples are regarded as simplicial complexes, and persistent sheaf Laplacians are utilized to extract a multiscale localized topological spectral representation for individual image samples. Statistical summaries of the resulting spectra are then aggregated across scales and dimensions to form multiscale multi-dimensional image representations. We evaluate the proposed framework on the COIL20 and ETH80 image datasets using standard classification protocols. Experimental results show that the proposed method provides more stable performance across a wide range of reduced dimensions and achieves consistent improvements to PCA-based baselines in moderate dimensional regimes.

This paper reformulates Transformer/Attention mechanisms in Large Language Models (LLMs) through measure theory and frequency analysis, theoretically demonstrating that hallucination is an inevitable structural limitation. The embedding space functions as a conditional expectation over a σ-algebra, and its failure to be isomorphic to the semantic truth set fundamentally causes logical consistency breakdown. WavePhaseNet Method The authors propose WavePhaseNet, which explicitly constructs a Semantic Conceptual Hierarchy Structure (SCHS) using Discrete Fourier Transform (DFT). By applying DFT along the sequence dimension, semantic information is decomposed into frequency bands: low-frequency components capture global meaning and intent, while high-frequency components represent local syntax and expression. This staged separation enables precise semantic manipulation in diagonalized space. Dimensionality Reduction GPT-4's 24,576-dimensional embedding space exhibits a 1/f spectral structure based on language self-similarity and Zipf's law. Through cumulative energy analysis, the authors derive that approximately 3,000 dimensions constitute the lower bound for "complete representation." This demonstrates that reduction from 24,576 to 3,000 dimensions preserves meaning and intent while enabling rigorous reasoning and suppressing hallucination. Cohomological Consistency Control The reduced embedding space, constructed via cohomological regularization over overlapping local windows, allows defining a graph structure and cochain complex. This quantifies inconsistencies among local inferences as coboundary-based losses. Applying harmonic projection based on Hodge theory positions cohomology as a computable regularization principle for controlling semantic consistency, extracting maximally consistent global representations.

A common approach to perform PCA on probability measures is to embed them into a Hilbert space where standard functional PCA techniques apply. While convergence rates for estimating the embedding of a single measure from $m$ samples are well understood, the literature has not addressed the setting involving multiple measures. In this paper, we study PCA in a double asymptotic regime where $n$ probability measures are observed, each through $m$ samples. We derive convergence rates of the form $n^{-1/2} + m^{-α}$ for the empirical covariance operator and the PCA excess risk, where $α>0$ depends on the chosen embedding. This characterizes the relationship between the number $n$ of measures and the number $m$ of samples per measure, revealing a sparse (small $m$) to dense (large $m$) transition in the convergence behavior. Moreover, we prove that the dense-regime rate is minimax optimal for the empirical covariance error. Our numerical experiments validate these theoretical rates and demonstrate that appropriate subsampling preserves PCA accuracy while reducing computational cost.

Multivariate data often exhibit complex dependencies that violate the assumption of isotropic residual noise. For such cases, we introduce Graph Regularized PCA (GR-PCA). It is a graph-based regularization of PCA that incorporates the dependency structure of the data features by learning a sparse precision graph and biasing loadings toward the low-frequency Fourier modes of the corresponding graph Laplacian. Consequently, high-frequency signals are suppressed, while graph-coherent low-frequency ones are preserved, yielding interpretable principal components aligned with conditional relationships. We evaluate GR-PCA on synthetic data spanning diverse graph topologies, signal-to-noise ratios, and sparsity levels. Compared to mainstream alternatives, it concentrates variance on the intended support, produces loadings with lower graph-Laplacian energy, and remains competitive in out-of-sample reconstruction. When high-frequency signals are present, the graph Laplacian penalty prevents overfitting, reducing the reconstruction accuracy but improving structural fidelity. The advantage over PCA is most pronounced when high-frequency signals are graph-correlated, whereas PCA remains competitive when such signals are nearly rotationally invariant. The procedure is simple to implement, modular with respect to the precision estimator, and scalable, providing a practical route to structure-aware dimensionality reduction that improves structural fidelity without sacrificing predictive performance.

Formal verification provides a powerful framework for proving that dynamical systems satisfy their specifications. However, these techniques face scalability challenges in high-dimensional settings, as they often rely on state-space discretization which grows exponentially with dimension. Learning-based approaches to dimensionality reduction have shown great potential to alleviate this problem. However, ensuring correctness of latent space verification results remains an open question. In this work, we provide a formal approach to reduce the dimensionality of systems via convex autoencoders and learn the dynamics in the latent space through a kernel-based method. We then construct a finite abstraction from the learned model in the latent space and guarantee that the abstraction contains the true behaviors of the original system. We show that the verification results in the latent space can be mapped back to the original system. Finally, we demonstrate the approach on multiple systems, including a 26D system controlled by a neural network, showing significant scalability improvements.

Bayesian optimisation (BO) enables sample-efficient global optimisation of expensive black-box functions but remains challenging in high dimensions. We investigate nonlinear dimensionality reduction to a sequence of low-dimensional latent-space BO (LSBO) problems. Early LSBO used linear random and supervised embeddings; building on Grosnit et al., we employ variational autoencoders (VAEs), deep metric loss for structured latent manifolds, and retraining to adapt the encoder-decoder pair to newly sampled regions. We couple LSBO with sequential domain reduction (SDR) directly in latent space (SDR-LSBO), narrowing search domains as evidence accumulates. Implemented in GPU-accelerated BoTorch with Mat'ern-5/2 Gaussian-process surrogates, our methods improve benchmark optimisation quality, and retraining can enhance BO performance. Comparisons with adaptive supervised linear random embeddings demonstrate the effectiveness of VAE-based BO for nonlinear low-dimensional structures. We analyse BO-VAE with a fixed pretrained representation, decomposing ambient-space simple regret into latent BO error and a fixed VAE-induced representation gap. Under a PAC-Bayes-certified reconstruction condition and standard fixed-prior assumptions for expected improvement with a Mat'ern-5/2 kernel, latent BO error vanishes as the evaluation budget increases, whereas the representation gap remains fixed and may impose a non-vanishing error floor. Visualisations empirically assess accessibility of the ambient optimum through the learned decoder. To our knowledge, this is the first study combining SDR with VAE-based LSBO. Our analysis clarifies metric shaping and retraining choices critical for scalable latent-space BO. For reproducibility, source code is available at https://github.com/L-Lok/Nonlinear-Dimensionality-Reduction-Techniques-for-Bayesian-Optimization.git.

Recently, autoencoders (AEs) have gained interest for creating parametric and invertible projections of multidimensional data. Parametric projections make it possible to embed new, unseen samples without recalculating the entire projection, while invertible projections allow the synthesis of new data instances. However, existing methods perform poorly when dealing with out-of-distribution samples in either the data or embedding space. Thus, we propose DE-VAE, an uncertainty-aware variational AE using differential entropy (DE) to improve the learned parametric and invertible projections. Given a fixed projection, we train DE-VAE to learn a mapping into 2D space and an inverse mapping back to the original space. We conduct quantitative and qualitative evaluations on four well-known datasets, using UMAP and t-SNE as baseline projection methods. Our findings show that DE-VAE can create parametric and inverse projections with comparable accuracy to other current AE-based approaches while enabling the analysis of embedding uncertainty.

Conventional dimensionality reduction methods mainly optimize variance or correlation, leaving statistical dependence, data diversity, contrast, and interpretability under addressed. We propose three new independence criteria for designing supervised and unsupervised dimensionality reduction (DR) methods, aiming to improve feature extraction and representation quality. Our framework combines linear and nonlinear formulations and is evaluated using contrast, classification accuracy, and interpretability measures. The interpretability of eigenfaces helps to effectively summarize dominant class-specific structures and trends within representative images. Evaluated on MNIST and a Gender face dataset for classification and reconstruction, our methods achieve significant improvements in contrast (up to $+$20.1%), accuracy (up to $+$17.4%), and interpretability (up to $+$120.0%) over Principal Component Analysis (PCA), t-distributed Stochastic Neighbor Embedding (t-SNE), Linear Discriminant Analysis (LDA), and Variational Autoencoder (VAE) baselines, while also improving VAE reconstruction performance by 9.5%. These results suggest a promising direction for interpretable representation learning based on statistical dependence and independence criteria.

We extend the results by Auffinger and Fletcher in 2023 on the large-sample limit of t-SNE to a broader class of input and output kernels. We prove that under natural assumptions on the input distribution and the decay of the output kernel, if perplexity scales linearly with data size, the empirical measures and values of minimizers converge to an equilibrium distribution. We conclude with numerical examples comparing different kernels.

The problem of using proximity (similarity or dissimilarity) data for the purpose of "adding a point to a vector diagram" was first studied by J.C. Gower in 1968. Since then, a number of methods -- mostly kernel methods -- have been proposed for solving what has come to be called the problem of out-of-sample embedding. We survey the various kernel methods that we have encountered and show that each can be derived from one or the other of two competing strategies: projection or restricted reconstruction. Projection can be analogized to a well-known formula for adding a point to a principal component analysis. Restricted reconstruction poses a different challenge: how to best approximate redoing the entire multivariate analysis while holding fixed the vector diagram that was previously obtained. This strategy results in a nonlinear optimization problem that can be simplified to a unidimensional search. Various circumstances may warrant either projection or restricted reconstruction.

Supervised dimensionality reduction maps labeled data into a low-dimensional feature space while preserving class separation. A common strategy is to learn features that maximize a measure of statistical dissimilarity between the class-conditional probability distributions. Information geometry, which is rooted in Riemannian geometry, provides an alternative framework for measuring class dissimilarity. It treats probability distributions as points in a statistical manifold and uses the Fisher information metric to define a geodesic distance--the Fisher-Rao distance--between distributions The Fisher-Rao distance is an appealing candidate for measuring class separation because the Fisher information metric is a local measure of discriminability, and because it allows a geometric interpretation. Here, we present Supervised Quadratic Feature Analysis (SQFA), a supervised dimensionality reduction method which learns linear features that maximize Fisher-Rao distances between class-conditional distributions, under Gaussian assumptions. In multiple real world datasets, we find that SQFA features support classification accuracy that is competitive with features that maximize more popular measures of dissimilarity, or that are learned by other state-of-the-art dimensionality reduction methods. Notably, the best classification accuracy is achieved by SQFA-H features, a variant of SQFA that maximizes the Hellinger distance, a rarely used objective for dimensionality reduction. These results demonstrate the potential of information geometry as a tool for supervised dimensionality reduction. We provide a Python implementation of SQFA at https://github.com/dherrera1911/sqfa.

We introduce LOT Wassmap, a computationally feasible algorithm to uncover low-dimensional structures in the Wasserstein space. The algorithm is motivated by the observation that many datasets are naturally interpreted as probability measures rather than points in $\mathbb{R}^n$, and that finding low-dimensional descriptions of such datasets requires manifold learning algorithms in the Wasserstein space. Most available algorithms are based on computing the pairwise Wasserstein distance matrix, which can be computationally challenging for large datasets in high dimensions. Our algorithm leverages approximation schemes such as Sinkhorn distances and linearized optimal transport to speed-up computations, and in particular, avoids computing a pairwise distance matrix. We provide guarantees on the embedding quality under such approximations, including when explicit descriptions of the probability measures are not available and one must deal with finite samples instead. Experiments demonstrate that LOT Wassmap attains correct embeddings and that the quality improves with increased sample size. We also show how LOT Wassmap significantly reduces the computational cost when compared to algorithms that depend on pairwise distance computations.

Inference for factor models is often hampered by the lack of tractable and accurate variance estimates, which can materially distort downstream analyses. In practice, uncertainty in the residual covariance matrix is frequently either ignored or addressed through computationally intensive resampling methods that tend to be unstable. This paper develops a unified analytical framework for inference in exploratory factor analysis under several widely used extraction rules, including least-squares, principal-factor, iterative principal-component, alpha, and image factoring. By treating these estimators as implicitly defined functions of the sample covariance matrix, we derive closed-form Jacobians that translate perturbations in the covariance matrix into changes in the resulting factor solutions. Combined with the delta method and consistent estimators of the sample covariance matrix, the proposed approach yields standard errors that are straightforward to compute and remain valid under non-Gaussianity, heteroskedasticity, and serial or cross-sectional dependence. Simulation evidence confirms that the analytical standard errors accurately capture finite-sample variability while avoiding both the instability of bootstrap procedures and the restrictive assumptions underlying Fisher information-based inference. An application to a factor-augmented structural vector autoregressive (SVAR) model further demonstrates how accounting for this source of uncertainty can substantially affect impulse-response inference. Taken together, the results provide a practical and general tool for propagating estimation uncertainty in settings where factor extraction serves as an intermediate step.