Optimal Spectral Shrinkage and PCA With Heteroscedastic Noise

DOI10.1109/TIT.2021.3055075zbMath1473.62205arXiv1811.02201OpenAlexW3125511429MaRDI QIDQ5001596

William Leeb, Elad Romanov

Publication date: 22 July 2021

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1811.02201

zbMATH Keywords

predictionprincipal component analysiscovariance estimationspiked covariance model with heteroscedastic noise

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

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Biwhitening Reveals the Rank of a Count Matrix ⋮ Optimally Weighted PCA for High-Dimensional Heteroscedastic Data ⋮ Optimal singular value shrinkage for operator norm loss: extending to non-square matrices ⋮ \textit{ScreeNOT}: exact MSE-optimal singular value thresholding in correlated noise ⋮ Rapid evaluation of the spectral signal detection threshold and Stieltjes transform ⋮ A note on identifiability conditions in confirmatory factor analysis ⋮ Matrix Denoising for Weighted Loss Functions and Heterogeneous Signals

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