Asymptotic properties of principal component analysis and shrinkage-bias adjustment under the generalized spiked population model

DOI10.1016/j.jmva.2019.02.007zbMath1422.62210arXiv1607.08647OpenAlexW2484383958WikidataQ98649273 ScholiaQ98649273MaRDI QIDQ131450

Rounak Dey, Seunggeun Lee, Rounak Dey, Seunggeun Lee

Publication date: September 2019

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1607.08647

zbMATH Keywords

random matrixhigh-dimensional dataconsistent estimationPC scores

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52)

Related Items (2)

Adjusting systematic bias in high dimensional principal component scores ⋮ hdpca

Uses Software

• lp_solve
• lpSolve
• Eigenstrat

Cites Work

• Unnamed Item
• Unnamed Item
• Convergence and prediction of principal component scores in high-dimensional settings
• Eigenvectors of some large sample covariance matrix ensembles
• On sample eigenvalues in a generalized spiked population model
• Spectrum estimation for large dimensional covariance matrices using random matrix theory
• No eigenvalues outside the support of the limiting spectral distribution of large-dimensional sample covariance matrices
• On the distribution of the largest eigenvalue in principal components analysis
• Analysis of the limiting spectral distribution of large dimensional random matrices
• Eigenvalues of large sample covariance matrices of spiked population models
• Convergence of sample eigenvalues, eigenvectors, and principal component scores for ultra-high dimensional data
• Convergence of Sample Eigenvectors of Spiked Population Model
• Improved Estimation of Eigenvalues and Eigenvectors of Covariance Matrices Using Their Sample Estimates
• On the Asymptotic Behavior of the Sample Estimates of Eigenvalues and Eigenvectors of Covariance Matrices
• Strong Law for the eigenvalues and eigenvectors of empirical covariance matrices
• On Consistency and Sparsity for Principal Components Analysis in High Dimensions
• DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES

This page was built for publication: Asymptotic properties of principal component analysis and shrinkage-bias adjustment under the generalized spiked population model