Federated Estimation of Loading Spaces in Tensor Factor Models under Differential Privacy

Abstract

Tensor factor models provide low-dimensional representations of tensor-valued observations while preserving their multiway structure. When these observations are held by different clients, privacy constraints may prevent them from being pooled for centralized analysis. We study estimation of common loading spaces in Tucker tensor factor models under federated differential privacy, allowing heterogeneous sample sizes, privacy budgets, and factor strengths. The proposed method combines private stability testing, Huber aggregation, and Gaussian perturbation at each client with weighted aggregation at the server. We establish non-asymptotic upper bounds governed by a scaled harmonic mean of the squared local error rates, and prove minimax optimality up to logarithmic factors under strong factors, fixed factor ranks, and fixed noise variance. We further develop a private calibration procedure that selects the local tuning parameters and aggregation weights without knowledge of the noise level or client-specific factor strengths. The resulting adaptive estimator preserves the privacy guarantee and attains the error rate obtained with oracle tuning. We illustrate the finite-sample performance of the proposed estimators through simulation experiments and an application to a Meditation Traits EEG dataset.