Selecting the number of principal components: estimation of the true rank of a noisy matrix (Q682300)
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scientific article; zbMATH DE number 6838144
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| English | Selecting the number of principal components: estimation of the true rank of a noisy matrix |
scientific article; zbMATH DE number 6838144 |
Statements
Selecting the number of principal components: estimation of the true rank of a noisy matrix (English)
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14 February 2018
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The class of statistical methods utilizing a hypotheses testing framework for determining the rank of a singular matrix in a noisy matrix model is proposed. The estimated rank corresponds to the number of principal components to retain in principle component analysis. Under Gaussian assumption, the proposed hypothesis testing method provides exact type I error controls along with exact confidence intervals of signal parameters in finite samples.
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principal components
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hypothesis test
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exact \(p\)-value
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Kac-Rice test
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noise level
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0.8152132034301758
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0.8139057159423828
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0.8000955581665039
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0.7794710993766785
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0.7724284529685974
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