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

DOI10.1080/03610910902936083zbMath1175.62060OpenAlexW2151396483MaRDI QIDQ3644996

Makoto Aoshima, Kazuyoshi Yata

Publication date: 16 November 2009

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

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

zbMATH Keywords

consistencysample sizeeigenvalue distributionrandom matrix theoryHDLSSprincipal components analysislarge \(p\) small \(n\)dual covariance matrix

Mathematics Subject Classification ID

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

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Cites Work

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

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