Variance variation criterion and consistency in estimating the number of significant signals of high-dimensional PCA

DOI10.1007/s10255-022-1094-4zbMath1493.62324OpenAlexW4283740674MaRDI QIDQ2155641

Guan Peng Wang, Heng-Jian Cui

Publication date: 15 July 2022

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-022-1094-4

zbMATH Keywords

consistencyhigh dimensionspiked modelsignificant eigenvaluesvariance variation criterion

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the sphericity test with large-dimensional observations
• Consistency of high-dimensional AIC-type and \(C_p\)-type criteria in multivariate linear regression
• Selection of components in principal component analysis: A comparison of methods
• Central limit theorems for eigenvalues in a spiked population model
• On sample eigenvalues in a generalized spiked population model
• Spectral analysis of large dimensional random matrices
• Estimating the dimension of a model
• Consistency of AIC and BIC in estimating the number of significant components in high-dimensional principal component analysis
• On the distribution of the largest eigenvalue in principal components analysis
• Principal component analysis.
• CLT for linear spectral statistics of large-dimensional sample covariance matrices.
• A consistency property of the AIC for multivariate linear models when the dimension and the sample size are large
• Estimation of the number of spikes, possibly equal, in the high-dimensional case
• Eigenvalues of large sample covariance matrices of spiked population models
• ON DETERMINING THE NUMBER OF SPIKES IN A HIGH-DIMENSIONAL SPIKED POPULATION MODEL
• Can the strengths of AIC and BIC be shared? A conflict between model indentification and regression estimation
• Selection of the order of an autoregressive model by Akaike's information criterion
• On order determination by predictor augmentation
• Combining eigenvalues and variation of eigenvectors for order determination
• Asymptotic Theory for Principal Component Analysis