PCA consistency in high dimension, low sample size context

DOI10.1214/09-AOS709zbMath1191.62108arXiv0911.3827OpenAlexW2078957532MaRDI QIDQ1043724

Publication date: 9 December 2009

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0911.3827

zbMATH Keywords

principal component analysis sample covariance matrix nonstandard asymptotics high dimension spiked population model \(\rho \)-mixing consistency and strong inconsistency low sample size data

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Factor analysis and principal components; correspondence analysis (62H25) Eigenvalues, singular values, and eigenvectors (15A18) Asymptotic distribution of eigenvalues, asymptotic theory of eigenfunctions for ordinary differential operators (34L20)

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