Diffusions of perturbed principal component analysis
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L'auteur détermine les équations différentielles stochastiques régissant les valeurs propres et les vecteurs propres d'une matrice carrée \(X(u)=^ tB(u)\cdot B(u)\), où B(u) est une matrice de format (n,p) de mouvements browniens indépendants telle que X(0) admette p valeurs propres distinctes. Les résultats sont ensuite appliqués à l'étude de la stabilité de l'Analyse en Composantes Principales lorsque les données sont altérées par des perturbations browniennes.
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