Optimal Spectral Shrinkage and PCA With Heteroscedastic Noise
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Publication:5001596
DOI10.1109/TIT.2021.3055075zbMath1473.62205arXiv1811.02201MaRDI QIDQ5001596
Publication date: 22 July 2021
Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1811.02201
prediction; principal component analysis; covariance estimation; spiked covariance model with heteroscedastic noise
62H25: Factor analysis and principal components; correspondence analysis
62H12: Estimation in multivariate analysis
94A12: Signal theory (characterization, reconstruction, filtering, etc.)
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