High dimension low sample size asymptotics of robust PCA

DOI10.1214/15-EJS992MaRDI QIDQ2259533zbMATH OpenWikidataFDO

Authors Yihui Zhou, J. S. Marron

Publication date 4 March 2015

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.ejs/1423491229

zbMATH Keywords

outlierrobustnessspherical PCAspike model

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25)

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• Robust PCA for high-dimensional data
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Cites work

• Correlation theory of processes with random stationary 𝑛th increments
• Effective PCA for high-dimension, low-sample-size data with singular value decomposition of cross data matrix
• Geometric Representation of High Dimension, Low Sample Size Data
• scientific article; zbMATH DE number 3954047 (Why is no real title available?)
• scientific article; zbMATH DE number 3986407 (Why is no real title available?)
• Least Median of Squares Regression
• Multivariate nonparametric methods with R. An approach based on spatial signs and ranks.
• Needles and straw in haystacks: Empirical Bayes estimates of possibly sparse sequences
• PCA consistency in high dimension, low sample size context
• Principal component analysis.
• Projection-Pursuit Approach to Robust Dispersion Matrices and Principal Components: Primary Theory and Monte Carlo
• Robust Estimation of Dispersion Matrices and Principal Components
• Robust principal component analysis for functional data. (With comments)
• Robust Statistics
• The 1972 Wald Lecture Robust Statistics: A Review

Cited in

(14)

• PCA consistency in high dimension, low sample size context
• Continuum directions for supervised dimension reduction
• Consistency of sparse PCA in high dimension, low sample size contexts
• Reconstruction of a high-dimensional low-rank matrix
• Comparing classical and robust sparse PCA
• Robust PCA for high-dimensional data
• Asymptotic Distribution of Studentized Contribution Ratio in High-Dimensional Principal Component Analysis
• Boundary behavior in high dimension, low sample size asymptotics of PCA
• Outlier detection by robust principal components analysis
• A survey of high dimension low sample size asymptotics
• A CLT for the LSS of large-dimensional sample covariance matrices with diverging spikes
• Generalized spherical principal component analysis
• Test for high-dimensional outliers with principal component analysis
• Cauchy robust principal component analysis with applications to high-deimensional data sets

Describes a project that uses

Uses Software

• EBayesThresh

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