Diffusions of perturbed principal component analysis
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Publication:1263197
DOI10.1016/0047-259X(89)90080-8zbMath0687.62048OpenAlexW1984449349MaRDI QIDQ1263197
Publication date: 1989
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0047-259x(89)90080-8
eigenvaluesprincipal component analysiseigenvectorsspectrumsample covariance matrixBrownian motions of symmetric matricesBrownian perturbations
Factor analysis and principal components; correspondence analysis (62H25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
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