Diffusions of perturbed principal component analysis (Q1263197): Difference between revisions
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Property / reviewed by: Jacques Dauxois / rank | |||
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Property / cites work: Brownian Motions of Ellipsoids / rank | |||
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Property / full work available at URL: https://doi.org/10.1016/0047-259x(89)90080-8 / rank | |||
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Latest revision as of 11:20, 30 July 2024
scientific article
Language | Label | Description | Also known as |
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English | Diffusions of perturbed principal component analysis |
scientific article |
Statements
Diffusions of perturbed principal component analysis (English)
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1989
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L'auteur détermine les équations différentielles stochastiques régissant les valeurs propres et les vecteurs propres d'une matrice carrée \(X(u)=^ tB(u)\cdot B(u)\), où B(u) est une matrice de format (n,p) de mouvements browniens indépendants telle que X(0) admette p valeurs propres distinctes. Les résultats sont ensuite appliqués à l'étude de la stabilité de l'Analyse en Composantes Principales lorsque les données sont altérées par des perturbations browniennes.
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spectrum
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Brownian perturbations
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eigenvalues
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eigenvectors
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Brownian motions of symmetric matrices
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sample covariance matrix
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principal component analysis
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