Asymptotic Theory for Principal Component Analysis

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Patterns in eigenvalues: the 70th Josiah Willard Gibbs lecture
ASYMPTOTIC DISTRIBUTION OF THE LARGEST EIGENVALUE
scientific article; zbMATH DE number 6860781 (Why is no real title available?)
Spectrum estimation for large dimensional covariance matrices using random matrix theory
ALL FOR ONE … ONE FOR ALL? A PRINCIPAL COMPONENT ANALYSIS OF LATIN AMERICAN BRADY BOND DEBT FROM 1994 TO 2000
Consistent noisy independent component analysis
Principal components on coefficient of variation matrices
Sequential subspace change point detection
Asymptotic expansions of the distributions of the latent roots and the latent vector of the Wishart and multivariate F matrices
Sparse principal component analysis for high‐dimensional stationary time series
A decision procedure for determining the number of components in principal component analysis
Regression based thresholds in principal loading analysis
On estimation of errors caused by non-linear undermodelling in system identification
Principal component analysis for histogram-valued data
Common principal components for dependent random vectors
On the distribution of the largest eigenvalue in principal components analysis
Limits of spiked random matrices. I
A note on Silvey's (1959) theorem
Estimation of high-dimensional prior and posterior covariance matrices in Kalman filter vari\-ants
Continuity and Analysis of Sequences of Principal Components
Model order selection for short data: an exponential fitting test (EFT)
Statistical eigen-inference from large Wishart matrices
Tests for a family of random-effects covariance structures in a multivariate growth curve model
On exact distribution for multivariate weighted distributions and classification
Simple and reliable estimators of coefficients of interest in a model with high-dimensional confounding effects
Dynamic Principal Component Analysis in High Dimensions
Indeterminacy problems in factor analysis and optimal principal component analysis
Tests for linear trend in the smallest eigenvalues of the correlation matrix
A local parameterization of orthogonal and semi-orthogonal matrices with applications
The largest sample eigenvalue distribution in the rank 1 quaternionic spiked model of Wishart ensemble
Recursion scheme for the largest $\beta$ -Wishart–Laguerre eigenvalue and Landauer conductance in quantum transport
Robust signal dimension estimation via SURE
On the distribution of the function of the F-matrix under an elliptical population
Comparison of factor spaces of two related populations
Asymptotic expansions for the joint and marginal distributions of the latent roots of $S_1S^{-1}_2$
Bias and Mean Square Error of the Sample Roots Under the Contaminated Gaussian Model
Principal components selection given extensively many variables
Professor Heinz Neudecker and matrix differential calculus
On two-sample mean tests under spiked covariances
Contributions to multivariate analysis by Professor Yasunori Fujikoshi
Asymptotic expansions for the distributions of functions of a correlation matrix
An approximate test for common principal component subspaces in two groups
On the stability of some high-resolution beamforming methods
Geometry-aware principal component analysis for symmetric positive definite matrices
Using generalized Procrustes analysis for multiple imputation in principal component analysis
An eigenvalue distribution derived ‘Stability Measure’ for evaluating Minimum Variance portfolios
One-sided test of a covariance matrix with a known null value
Asymptotic properties of correlation-based principal component analysis
Optimal rank-based testing for principal components
Recent advances in directional statistics
Eigenvalues and eigenvectors of heavy-tailed sample covariance matrices with general growth rates: the iid case
Allometric Extension
Testing for a unit root in panels with dynamic factors
Estimating the number of factors to include in a high-dimensional multivariate bilinear model
Limit theory for the largest eigenvalues of sample covariance matrices with heavy-tails
Asymptotic theory for robust principal components
Identifying the informational/signal dimension in principal component analysis
An asymptotic expansion for the distributions of the latent roots of the Wishart matrix with multiple population roots
Multi-curve HJM modelling for risk management
Non-asymptotic properties of spectral decomposition of large Gram-type matrices and applications
The five trolls under the bridge: principal component analysis with asynchronous and noisy high frequency data
Asymptotic distributions of the latent roots of the covariance matrix with multiple population roots
Convergence rate of eigenvector empirical spectral distribution of large Wigner matrices
Testing the equality of several intraclass correlation coefficients
Wald Statistics in high-dimensional PCA
Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices
Nonparametric identification and estimation of stochastic block models from many small networks
Asymptotic expansion for the distribution of a function of latent roots of the covariance matrix
Determination of cointegrating rank in fractional systems.
Tracy-Widom limit for the largest eigenvalue of a large class of complex sample covariance matrices
On estimation of quadratic variation for multivariate pure jump semimartingales
Principal component analysis: a generalized Gini approach
A family of tests to detect misspecifications in the random-effects structure of generalized linear mixed models
Projection-pursuit based principal component analysis: a large sample theory
Fitting dynamic factor models to non-stationary time series
The asymptotic expansion of the distribution of Anderson's statistic for testing a latent vector of a covariance matrix
Measuring production yield for processes with multiple quality characteristics
Testing for cointegration using principal components methods
Statistical methods generalizing principal component analysis to non-Euclidean spaces
Principal component histograms from interval-valued observations
Principal component analysis for multivariate extremes
Approximate factor models: Finite sample distributions
Principal eigenportfolios for U.S. equities
On testing the equality of latent roots of scatter matrices under ellipticity
Statistical inference for functional relationship between the specified and the remainder populations
Robust covariance estimation for distributed principal component analysis
Testing for common principal components under heterokurticity
Semiparametric Estimation in Continuous-Time: Asymptotics for Integrated Volatility Functionals with Small and Large Bandwidths
Distribution of eigenvalues and eigenvectors of Wishart matrix when the population eigenvalues are infinitely dispersed and its application to minimax estimation of covariance matrix
Test for generalized variance in signal processing
Testing the eigenvalue structure of spot and integrated covariance
Variance variation criterion and consistency in estimating the number of significant signals of high-dimensional PCA
Minimax bounds for sparse PCA with noisy high-dimensional data
Second-order accurate inference on eigenvalues of covariance and correlation matrices
The power of the likelihood ratio test for additional information in a multivariate linear model
Statistical significance of the contribution of variables to the PCA solution: an alternative permutation strategy
On the sample covariance matrix estimator of reduced effective rank population matrices, with applications to fPCA
Covariance estimation under spatial dependence
Fast recursive identification of state space models via exploitation of displacement structure
Asymptotic behavior of the maximum and minimum singular value of random Vandermonde matrices

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