On asymptotic normality of cross data matrix-based PCA in high dimension low sample size

DOI10.1016/J.JMVA.2019.104556zbMATH Open1437.62221OpenAlexW2978907568MaRDI QIDQ2293385FDOQ2293385

Authors: Shao-Hsuan Wang, Suyun Huang, Ting-Li Chen 

Publication date: 5 February 2020

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2019.104556

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zbMATH Keywords

asymptotic normalityprincipal component analysisspiked covariance modelhigh dimension low sample sizecross data matrix

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Statistical aspects of big data and data science (62R07) Asymptotic distribution theory in statistics (62E20)

Cites Work

• On consistency and sparsity for principal components analysis in high dimensions
• Asymptotics of sample eigenstructure for a large dimensional spiked covariance model
• PCA consistency in high dimension, low sample size context
• The statistics and mathematics of high dimension low sample size asymptotics
• Title not available (Why is that?)
• Asymptotics of empirical eigenstructure for high dimensional spiked covariance
• Geometric Representation of High Dimension, Low Sample Size Data
• Phase transition of the largest eigenvalue for nonnull complex sample covariance matrices
• The high-dimension, low-sample-size geometric representation holds under mild conditions
• Asymptotic Theory for Principal Component Analysis
• PCA Consistency for Non-Gaussian Data in High Dimension, Low Sample Size Context
• Effective PCA for high-dimension, low-sample-size data with noise reduction via geometric representations
• High-dimensional inference on covariance structures via the extended cross-data-matrix methodology
• Correlation tests for high-dimensional data using extended cross-data-matrix methodology
• Effective PCA for high-dimension, low-sample-size data with singular value decomposition of cross data matrix
• A survey of high dimension low sample size asymptotics
• The asymptotic distribution of principal component roots under local alternatives to multiple roots
• Two-sample tests for high-dimension, strongly spiked eigenvalue models
• Equality tests of high-dimensional covariance matrices under the strongly spiked eigenvalue model

Cited In (6)

• Boundary behavior in high dimension, low sample size asymptotics of PCA
• On the asymptotic normality and efficiency of Kronecker envelope principal component analysis
• Perturbation theory for cross data matrix-based PCA
• Effective PCA for high-dimension, low-sample-size data with singular value decomposition of cross data matrix
• Functional ANOVA based on empirical characteristic functionals
• PCA consistency in high dimension, low sample size context

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