Optimal prediction in the linearly transformed spiked model
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Publication:2176630
DOI10.1214/19-AOS1819zbMath1441.62158arXiv1709.03393MaRDI QIDQ2176630
Edgar Dobriban, Amit Singer, William Leeb
Publication date: 5 May 2020
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1709.03393
matrix completion; principal component analysis; random matrix theory; missing data; shrinkage; high dimensional; spiked model
62M20: Inference from stochastic processes and prediction
62H25: Factor analysis and principal components; correspondence analysis
62H15: Hypothesis testing in multivariate analysis
62P35: Applications of statistics to physics
62D10: Missing data
Uses Software