A general framework for consistency of principal component analysis
From MaRDI portal
Abstract: A general asymptotic framework is developed for studying consis- tency properties of principal component analysis (PCA). Our frame- work includes several previously studied domains of asymptotics as special cases and allows one to investigate interesting connections and transitions among the various domains. More importantly, it enables us to investigate asymptotic scenarios that have not been considered before, and gain new insights into the consistency, subspace consistency and strong inconsistency regions of PCA and the boundaries among them. We also establish the corresponding convergence rate within each region. Under general spike covariance models, the dimension (or the number of variables) discourages the consistency of PCA, while the sample size and spike information (the relative size of the population eigenvalues) encourages PCA consistency. Our framework nicely illustrates the relationship among these three types of information in terms of dimension, sample size and spike size, and rigorously characterizes how their relationships affect PCA consistency.
Recommendations
Cited in
(63)- scientific article; zbMATH DE number 7376764 (Why is no real title available?)
- Continuity and Analysis of Sequences of Principal Components
- A survey of high dimension low sample size asymptotics
- Simple and reliable estimators of coefficients of interest in a model with high-dimensional confounding effects
- High-dimensional covariance matrix estimation
- Stability of principal components under normal and non-normal parent populations and different covariance structures scenarios
- Testing for subsphericity when \(n\) and \(p\) are of different asymptotic order
- Convergence of algorithms used for principal component analysis
- Asymptotics of hierarchical clustering for growing dimension
- Self-Consistency and Principal Component Analysis
- Principal eigenportfolios for U.S. equities
- Modeling High-Dimensional Time Series: A Factor Model With Dynamically Dependent Factors and Diverging Eigenvalues
- Statistical exploration of the manifold hypothesis
- Discussion of: ``Statistical exploration of the manifold hypothesis
- Discussion of: ``Statistical exploration of the manifold hypothesis
- Discussion of: ``Statistical exploration of the manifold hypothesis
- Discussion of: ``Statistical exploration of the manifold hypothesis
- Discussion of: ``Statistical exploration of the manifold hypothesis
- Discussion of: ``Statistical exploration of the manifold hypothesis
- Discussion of: ``Statistical exploration of the manifold hypothesis
- Discussion of: ``Statistical exploration of the manifold hypothesis
- Discussion of: ``Statistical exploration of the manifold hypothesis
- Discussion of: ``Statistical exploration of the manifold hypothesis
- Discussion of: ``Statistical exploration of the manifold hypothesis
- Discussion of: ``Statistical exploration of the manifold hypothesis
- Discussion of: ``Statistical exploration of the manifold hypothesis
- Discussion of: ``Statistical exploration of the manifold hypothesis
- Discussion of: ``Statistical exploration of the manifold hypothesis
- Discussion of: ``Statistical exploration of the manifold hypothesis
- Discussion of: ``Statistical exploration of the manifold hypothesis
- Discussion of: ``Statistical exploration of the manifold hypothesis
- Discussion of: ``Statistical exploration of the manifold hypothesis
- Discussion of: ``Statistical exploration of the manifold hypothesis
- Discussion of: ``Statistical exploration of the manifold hypothesis
- Discussion of: ``Statistical exploration of the manifold hypothesis
- Discussion of: ``Statistical exploration of the manifold hypothesis
- Discussion of: ``Statistical exploration of the manifold hypothesis
- Discussion of: ``Statistical exploration of the manifold hypothesis
- Discussion of: ``Statistical exploration of the manifold hypothesis
- Discussion of: ``Statistical exploration of the manifold hypothesis
- Discussion of: ``Statistical exploration of the manifold hypothesis
- Discussion of: ``Statistical exploration of the manifold hypothesis
- Discussion of: ``Statistical exploration of the manifold hypothesis
- Discussion of: ``Statistical exploration of the manifold hypothesis
- Reply to the discussion of: ``Statistical exploration of the manifold hypothesis
- Randomized time Riemannian manifold Hamiltonian Monte Carlo
- Robust PCA for high‐dimensional data based on characteristic transformation
- Nonsparse learning with latent variables
- Consistency of restricted maximum likelihood estimators of principal components
- Design of input assignment and feedback gain for re‐stabilizing undirected networks with High‐Dimension Low‐Sample‐Size data
- Double data piling: a high-dimensional solution for asymptotically perfect multi-category classification
- Clustering by principal component analysis with Gaussian kernel in high-dimension, low-sample-size settings
- On the eigenstructure of covariance matrices with divergent spikes
- Poisson reduced-rank models with sparse loadings
- The equivalence between principal component analysis and nearest flat in the least square sense
- A guide for sparse PCA: model comparison and applications
- Correction to: ``Principal component analysis constrained by layered simple structures
- Scalable interpretable multi-response regression via SEED
- Using a supervised principal components analysis for variable selection in high-dimensional datasets reduces false discovery rates
- A Model-free Variable Screening Method Based on Leverage Score
- PCA Consistency for Non-Gaussian Data in High Dimension, Low Sample Size Context
- Finite sample approximation results for principal component analysis: A matrix perturbation approach
- PCA consistency in high dimension, low sample size context
This page was built for publication: A general framework for consistency of principal component analysis
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2834478)
