On Estimation of the Noise Variance in High Dimensional Probabilistic Principal Component Analysis

DOI10.1111/rssb.12153zbMath1414.62218arXiv1308.3890OpenAlexW2151269784MaRDI QIDQ5378155

Zhaoyuan Li, Damien Passemier, Jian-feng Yao

Publication date: 12 June 2019

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1308.3890

zbMATH Keywords

high dimensional datagoodness of fitrandom-matrix theorynumber of principal componentsprobabilistic principal component analysisnoise variance estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Factor analysis and principal components; correspondence analysis (62H25)

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