Selecting the number of principal components: estimation of the true rank of a noisy matrix (Q682300)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Selecting the number of principal components: estimation of the true rank of a noisy matrix |
scientific article |
Statements
Selecting the number of principal components: estimation of the true rank of a noisy matrix (English)
0 references
14 February 2018
0 references
The class of statistical methods utilizing a hypotheses testing framework for determining the rank of a singular matrix in a noisy matrix model is proposed. The estimated rank corresponds to the number of principal components to retain in principle component analysis. Under Gaussian assumption, the proposed hypothesis testing method provides exact type I error controls along with exact confidence intervals of signal parameters in finite samples.
0 references
principal components
0 references
hypothesis test
0 references
exact \(p\)-value
0 references
Kac-Rice test
0 references
noise level
0 references
