Insights into kernel PCA with application to multivariate extremes

DOI10.1137/24M1678635MaRDI QIDQ6956542zbMATH OpenFDO

Authors Marco Avella-Medina, Richard A. Davis, Gennady Samorodnitsky

Publication date 18 July 2025

Published in SIAM Journal on Mathematics of Data Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/24M1678635

zbMATH Keywords

angular measureheavy tailskernel PCAperturbation boundsregular variationreproducing kernel Hilbert space

Mathematics Subject Classification ID

Hilbert spaces with reproducing kernels (= (proper) functional Hilbert spaces, including de Branges-Rovnyak and other structured spaces) (46E22) Statistics of extreme values; tail inference (62G32) Factor analysis and principal components; correspondence analysis (62H25) Learning and adaptive systems in artificial intelligence (68T05)

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Cited in

(3)

• Information criteria for the number of directions of extremes in high-dimensional data
• Estimation of the number of principal components in high-dimensional multivariate extremes
• Weak signals and heavy tails: learning theory meets extreme value analysis

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