Non-asymptotic properties of spectral decomposition of large Gram-type matrices and applications

DOI10.3150/21-BEJ1384OpenAlexW4214814801WikidataQ114038745 ScholiaQ114038745MaRDI QIDQ2137016FDOQ2137016

Publication date: 16 May 2022

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/journals/bernoulli/volume-28/issue-2/Non-asymptotic-properties-of-spectral-decomposition-of-large-Gram-type/10.3150/21-BEJ1384.full

zbMATH Keywords

principal component analysis high-dimensional time series spectral decomposition approximate factor model non-asymptotic analysis Gram-type matrices

Mathematics Subject Classification ID

Multivariate analysis (62Hxx) Limit theorems in probability theory (60Fxx) Statistical distribution theory (62Exx)

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Uses Software

FarmTest

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