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

DOI10.1016/J.JMVA.2019.104556MaRDI QIDQ2293385zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 1347881 (Why is no real title available?)
• A survey of high dimension low sample size asymptotics
• Asymptotic Theory for Principal Component Analysis
• Asymptotics of empirical eigenstructure for high dimensional spiked covariance
• Asymptotics of sample eigenstructure for a large dimensional spiked covariance model
• Correlation tests for high-dimensional data using extended cross-data-matrix methodology
• Effective PCA for high-dimension, low-sample-size data with noise reduction via geometric representations
• Effective PCA for high-dimension, low-sample-size data with singular value decomposition of cross data matrix
• Equality tests of high-dimensional covariance matrices under the strongly spiked eigenvalue model
• Geometric Representation of High Dimension, Low Sample Size Data
• High-dimensional inference on covariance structures via the extended cross-data-matrix methodology
• On consistency and sparsity for principal components analysis in high dimensions
• PCA Consistency for Non-Gaussian Data in High Dimension, Low Sample Size Context
• PCA consistency in high dimension, low sample size context
• Phase transition of the largest eigenvalue for nonnull complex sample covariance matrices
• The asymptotic distribution of principal component roots under local alternatives to multiple roots
• The high-dimension, low-sample-size geometric representation holds under mild conditions
• The statistics and mathematics of high dimension low sample size asymptotics
• Two-sample tests for high-dimension, strongly spiked eigenvalue models

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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