Dimension Estimation in Noisy PCA With SURE and Random Matrix Theory

DOI10.1109/TSP.2008.2005865MaRDI QIDQ4568876zbMATH OpenOpenAlexFDO

Authors Magnús Örn Úlfarsson, V. Solo

Publication date 27 June 2018

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tsp.2008.2005865

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Cited in

(10)

• The generalized degrees of freedom of multilinear principal component analysis
• Estimation of the number of spikes, possibly equal, in the high-dimensional case
• High-dimensional linear discriminant analysis classifier for spiked covariance model
• A Novel Approach to Estimate the Intrinsic Dimension of fMRI Data Using Independent Component Analysis
• Order Determination for Spiked Type Models
• A Universal Test on Spikes in a High-Dimensional Generalized Spiked Model and Its Applications
• Order determination for spiked-type models with a divergent number of spikes
• Robust signal dimension estimation via SURE
• Trend of high dimensional time series estimation using low-rank matrix factorization: heuristics and numerical experiments via the \texttt{TrendTM} package
• Noise variance estimation in a large-dimensional approximate factor model and its application

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