PCA Consistency for Non-Gaussian Data in High Dimension, Low Sample Size Context

DOI10.1080/03610910902936083MaRDI QIDQ3644996zbMATH OpenOpenAlexFDO

Authors Kazuyoshi Yata, Makoto Aoshima

Publication date 16 November 2009

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL http://hdl.handle.net/2241/104228

zbMATH Keywords

consistencydual covariance matrixeigenvalue distributionHDLSSlarge \(p\) small \(n\)principal components analysisrandom matrix theorysample size

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Asymptotic distribution of eigenvalues, asymptotic theory of eigenfunctions for ordinary differential operators (34L20) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric estimators (62F12) Factor analysis and principal components; correspondence analysis (62H25)

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Cites work

• Eigenvalues of large sample covariance matrices of spiked population models
• Geometric Representation of High Dimension, Low Sample Size Data
• On the distribution of the largest eigenvalue in principal components analysis
• Phase transition of the largest eigenvalue for nonnull complex sample covariance matrices
• The high-dimension, low-sample-size geometric representation holds under mild conditions

Cited in

(69)

• PCA consistency in high dimension, low sample size context
• Continuum directions for supervised dimension reduction
• Inference on high-dimensional mean vectors with fewer observations than the dimension
• Projection pursuit via white noise matrices
• Consistency of sparse PCA in high dimension, low sample size contexts
• Consistency of the objective general index in high-dimensional settings
• Perturbation theory for cross data matrix-based PCA
• Variance variation criterion and consistency in estimating the number of significant signals of high-dimensional PCA
• Testing for subsphericity when \(n\) and \(p\) are of different asymptotic order
• On asymptotic normality of cross data matrix-based PCA in high dimension low sample size
• Reconstruction of a high-dimensional low-rank matrix
• Convergence of sample eigenvalues, eigenvectors, and principal component scores for ultra-high dimensional data
• Effective Two-Stage Estimation for a Linear Function of High-Dimensional Gaussian Means
• Two-stage procedures for high-dimensional data
• Correlation tests for high-dimensional data using extended cross-data-matrix methodology
• Asymptotics of hierarchical clustering for growing dimension
• PCA and eigen-inference for a spiked covariance model with largest eigenvalues of same asymptotic order
• Boundary behavior in high dimension, low sample size asymptotics of PCA
• Statistical inference for high-dimension, low-sample-size data
• A test of sphericity for high-dimensional data and its application for detection of divergently spiked noise
• A survey of high dimension low sample size asymptotics
• ECA: High-Dimensional Elliptical Component Analysis in Non-Gaussian Distributions
• Consistent high-dimensional Bayesian variable selection via penalized credible regions
• scientific article; zbMATH DE number 7387552 (Why is no real title available?)
• Discussion on ``Two-stage procedures for high-dimensional data by Makoto Aoshima and Kazuyoshi Yata
• Minimum cost‐compression risk in principal component analysis
• CORRELATION MATRIX OF EQUI-CORRELATED NORMAL POPULATION: FLUCTUATION OF THE LARGEST EIGENVALUE, SCALING OF THE BULK EIGENVALUES, AND STOCK MARKET
• Curse of dimensionality on persistence diagrams
• New multistage formulations of minimum risk fixed-size confidence region (MRFSCR) problems for estimating a multivariate normal mean with illustrations, simulations and data analysis
• Automatic sparse PCA for high-dimensional data
• Statistical exploration of the manifold hypothesis
• Discussion of: ``Statistical exploration of the manifold hypothesis
• Discussion of: ``Statistical exploration of the manifold hypothesis
• Discussion of: ``Statistical exploration of the manifold hypothesis
• Discussion of: ``Statistical exploration of the manifold hypothesis
• Discussion of: ``Statistical exploration of the manifold hypothesis
• Discussion of: ``Statistical exploration of the manifold hypothesis
• Discussion of: ``Statistical exploration of the manifold hypothesis
• Discussion of: ``Statistical exploration of the manifold hypothesis
• Discussion of: ``Statistical exploration of the manifold hypothesis
• Discussion of: ``Statistical exploration of the manifold hypothesis
• Discussion of: ``Statistical exploration of the manifold hypothesis
• Discussion of: ``Statistical exploration of the manifold hypothesis
• Discussion of: ``Statistical exploration of the manifold hypothesis
• Discussion of: ``Statistical exploration of the manifold hypothesis
• Discussion of: ``Statistical exploration of the manifold hypothesis
• Discussion of: ``Statistical exploration of the manifold hypothesis
• Discussion of: ``Statistical exploration of the manifold hypothesis
• Discussion of: ``Statistical exploration of the manifold hypothesis
• Discussion of: ``Statistical exploration of the manifold hypothesis
• Discussion of: ``Statistical exploration of the manifold hypothesis
• Discussion of: ``Statistical exploration of the manifold hypothesis
• Discussion of: ``Statistical exploration of the manifold hypothesis
• Discussion of: ``Statistical exploration of the manifold hypothesis
• Discussion of: ``Statistical exploration of the manifold hypothesis
• Discussion of: ``Statistical exploration of the manifold hypothesis
• Discussion of: ``Statistical exploration of the manifold hypothesis
• Discussion of: ``Statistical exploration of the manifold hypothesis
• Discussion of: ``Statistical exploration of the manifold hypothesis
• Discussion of: ``Statistical exploration of the manifold hypothesis
• Discussion of: ``Statistical exploration of the manifold hypothesis
• Discussion of: ``Statistical exploration of the manifold hypothesis
• Reply to the discussion of: ``Statistical exploration of the manifold hypothesis
• Statistical hypothesis testing for high-dimension, low-sample-size data
• Beyond regularization: inherently sparse principal component analysis
• A distance-based, misclassification rate adjusted classifier for multiclass, high-dimensional data
• Effective PCA for high-dimension, low-sample-size data with noise reduction via geometric representations
• Asymptotic properties of the first principal component and equality tests of covariance matrices in high-dimension, low-sample-size context
• Effective PCA for high-dimension, low-sample-size data with singular value decomposition of cross data matrix

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