Diffusions of perturbed principal component analysis
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Publication:1263197
DOI10.1016/0047-259X(89)90080-8zbMath0687.62048MaRDI QIDQ1263197
Publication date: 1989
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
eigenvalues; principal component analysis; eigenvectors; spectrum; sample covariance matrix; Brownian motions of symmetric matrices; Brownian perturbations
62H25: Factor analysis and principal components; correspondence analysis
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
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Cites Work
