Diffusions of perturbed principal component analysis

DOI10.1016/0047-259X(89)90080-8zbMath0687.62048MaRDI QIDQ1263197

Marie-France Bru

Publication date: 1989

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

eigenvalues; principal component analysis; eigenvectors; spectrum; sample covariance matrix; Brownian motions of symmetric matrices; Brownian perturbations

Mathematics Subject Classification ID

62H25: Factor analysis and principal components; correspondence analysis

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

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Cites Work

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