Confidence sets for spectral projectors of covariance matrices
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Recommendations
- Bootstrap confidence sets for spectral projectors of sample covariance
- Bayesian inference for spectral projectors of the covariance matrix
- Bootstrapping spectral statistics in high dimensions
- Bootstrap tests and confidence regions for functions of a covariance matrix
- Asymptotics and concentration bounds for bilinear forms of spectral projectors of sample covariance
Cites work
- Bootstrap confidence sets under model misspecification
- Central limit theorems and bootstrap in high dimensions
- Concentration inequalities and moment bounds for sample covariance operators
- Gaussian approximations and multiplier bootstrap for maxima of sums of high-dimensional random vectors
- Large ball probabilities, Gaussian comparison and anti-concentration
- Nonasymptotic estimates for the closeness of Gaussian measures on balls
- Normal approximation and concentration of spectral projectors of sample covariance
- On the spectral norm of Gaussian random matrices
- User-friendly tail bounds for sums of random matrices
Cited in
(7)- Bayesian inference for spectral projectors of the covariance matrix
- Nonasymptotic estimates for the closeness of Gaussian measures on balls
- Efficient estimation of linear functionals of principal components
- Bootstrap confidence sets for spectral projectors of sample covariance
- Large ball probabilities, Gaussian comparison and anti-concentration
- Bootstrapping spectral statistics in high dimensions
- Wald Statistics in high-dimensional PCA
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