Asymptotic performance of PCA for high-dimensional heteroscedastic data

DOI10.1016/j.jmva.2018.06.002zbMath1395.62139arXiv1703.06610OpenAlexW2734385411WikidataQ91692254 ScholiaQ91692254MaRDI QIDQ1661372

David Hong, Laura Balzano, Jeffrey A. Fessler

Publication date: 16 August 2018

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

Full work available at URL: https://arxiv.org/abs/1703.06610

zbMATH Keywords

principal component analysisheteroscedasticityhigh-dimensional datasubspace estimationasymptotic random matrix theory

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12)

Related Items

Heteroskedastic PCA: algorithm, optimality, and applications, On the non-asymptotic concentration of heteroskedastic Wishart-type matrix, Stochastic Gradients for Large-Scale Tensor Decomposition, Biwhitening Reveals the Rank of a Count Matrix, Optimally Weighted PCA for High-Dimensional Heteroscedastic Data, Asymptotic performance of PCA for high-dimensional heteroscedastic data, \textit{ScreeNOT}: exact MSE-optimal singular value thresholding in correlated noise, Rapid evaluation of the spectral signal detection threshold and Stieltjes transform, A note on identifiability conditions in confirmatory factor analysis, Matrix Denoising for Weighted Loss Functions and Heterogeneous Signals, Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components

Uses Software

• OptShrink

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