Asymptotics of empirical eigenstructure for high dimensional spiked covariance
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Publication:2012938
DOI10.1214/16-AOS1487zbMath1373.62299arXiv1502.04733OpenAlexW2626872000WikidataQ41466452 ScholiaQ41466452MaRDI QIDQ2012938
Publication date: 3 August 2017
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1502.04733
principal component analysisasymptotic distributionsfalse discovery proportionapproximate factor modeldiverging eigenvaluesrelative risk management
Multivariate distribution of statistics (62H10) Factor analysis and principal components; correspondence analysis (62H25) Asymptotic distribution theory in statistics (62E20)
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