On estimation of the noise variance in high dimensional probabilistic principal component analysis
From MaRDI portal
(Redirected from Publication:5378155)
Abstract: In this paper, we develop new statistical theory for probabilistic principal component analysis models in high dimensions. The focus is the estimation of the noise variance, which is an important and unresolved issue when the number of variables is large in comparison with the sample size. We first unveil the reasons of a widely observed downward bias of the maximum likelihood estimator of the variance when the data dimension is high. We then propose a bias-corrected estimator using random matrix theory and establish its asymptotic normality. The superiority of the new (bias-corrected) estimator over existing alternatives is first checked by Monte-Carlo experiments with various combinations of (dimension and sample size). In order to demonstrate further potential benefits from the results of the paper to general probability PCA analysis, we provide evidence of net improvements in two popular procedures (Ulfarsson and Solo, 2008; Bai and Ng, 2002) for determining the number of principal components when the respective variance estimator proposed by these authors is replaced by the bias-corrected estimator. The new estimator is also used to derive new asymptotics for the related goodness-of-fit statistic under the high-dimensional scheme.
Recommendations
- Variance variation criterion and consistency in estimating the number of significant signals of high-dimensional PCA
- On consistency and sparsity for principal components analysis in high dimensions
- Bayesian estimation of the number of principal components
- Effective PCA for high-dimension, low-sample-size data with noise reduction via geometric representations
Cited in
(22)- Order Determination for Spiked Type Models
- Applications on linear spectral statistics of high-dimensional sample covariance matrix with divergent spectrum
- Inference on testing the number of spikes in a high-dimensional generalized spiked Fisher matrix
- On two-sample mean tests under spiked covariances
- A simultaneous test of mean vector and covariance matrix in high-dimensional settings
- Order determination for spiked-type models with a divergent number of spikes
- Wald Statistics in high-dimensional PCA
- A supplement on CLT for LSS under a large dimensional generalized spiked covariance model
- Hypothesis tests for principal component analysis when variables are standardized
- A cure for variance inflation in high dimensional kernel principal component analysis
- Exploring dimension learning via a penalized probabilistic principal component analysis
- Variance variation criterion and consistency in estimating the number of significant signals of high-dimensional PCA
- Detecting spectral breaks in spiked covariance models
- A Universal Test on Spikes in a High-Dimensional Generalized Spiked Model and Its Applications
- High-dimensional linear discriminant analysis classifier for spiked covariance model
- scientific article; zbMATH DE number 7415123 (Why is no real title available?)
- Sparse equisigned PCA: algorithms and performance bounds in the noisy rank-1 setting
- High dimensional matrix estimation with unknown variance of the noise
- A high-dimensional test on linear hypothesis of means under a low-dimensional factor model
- Testing General Linear Hypotheses Under a High-Dimensional Multivariate Regression Model with Spiked Noise Covariance
- Randomized empirical likelihood test for ultra-high dimensional means under general covariances
- Bayesian variable selection for globally sparse probabilistic PCA
This page was built for publication: On estimation of the noise variance in high dimensional probabilistic principal component analysis
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5378155)
