Asymptotic Theory for Principal Component Analysis

DOI10.1214/AOMS/1177704248zbMATH Open0202.49504OpenAlexW2165918462WikidataQ92159367 ScholiaQ92159367MaRDI QIDQ5601201FDOQ5601201

Authors: T. W. Anderson 

Publication date: 1963

Published in: Annals of Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoms/1177704248

Cited In (only showing first 100 items - show all)

• Sparse principal component analysis for high‐dimensional stationary time series
• Spectrum estimation for large dimensional covariance matrices using random matrix theory
• Consistent noisy independent component analysis
• Principal components on coefficient of variation matrices
• Common principal components for dependent random vectors
• On the distribution of the largest eigenvalue in principal components analysis
• Limits of spiked random matrices. I
• Estimation of high-dimensional prior and posterior covariance matrices in Kalman filter vari\-ants
• Statistical eigen-inference from large Wishart matrices
• 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
• Principal components selection given extensively many variables
• Asymptotic properties of correlation-based principal component analysis
• Using generalized Procrustes analysis for multiple imputation in principal component analysis
• Allometric Extension
• 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
• Testing for a unit root in panels with dynamic factors
• Limit theory for the largest eigenvalues of sample covariance matrices with heavy-tails
• Asymptotic theory for robust principal components
• An asymptotic expansion for the distributions of the latent roots of the Wishart matrix with multiple population roots
• Convergence rate of eigenvector empirical spectral distribution of large Wigner matrices
• Tracy-Widom limit for the largest eigenvalue of a large class of complex sample covariance matrices
• Determination of cointegrating rank in fractional systems.
• A family of tests to detect misspecifications in the random-effects structure of generalized linear mixed models
• Measuring production yield for processes with multiple quality characteristics
• Fitting dynamic factor models to non-stationary time series
• Testing for cointegration using principal components methods
• Distribution of eigenvalues and eigenvectors of Wishart matrix when the population eigenvalues are infinitely dispersed and its application to minimax estimation of covariance matrix
• Statistical inference for functional relationship between the specified and the remainder populations
• Second-order accurate inference on eigenvalues of covariance and correlation matrices
• Minimax bounds for sparse PCA with noisy high-dimensional data
• 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
• New asymptotic results in principal component analysis
• Large-sample estimation strategies for eigenvalues of a Wishart matrix.
• Asymptotic results in canonical discriminant analysis when the dimension is large compared to the sample size
• Statistical properties of kernel principal component analysis
• Inference on covariance matrices under rank restrictions
• Higher-Order Asymptotic Standard Error and Asymptotic Expansion in Principal Component Analysis
• Optimal eigen expansions and uniform bounds
• Random matrix theory and its applications
• Kernel-based nonlinear canonical analysis and time reversibility
• Analysis of the asymptotic properties of the MOESP type of subspace algorithms
• On asymptotic normality of cross data matrix-based PCA in high dimension low sample size
• Central limit theorem for partial linear eigenvalue statistics of Wigner matrices
• Statistical analysis on high-dimensional spheres and shape spaces
• Tensor products and statistics
• The likelihood ratio tests for the dimensionality of regression coefficients
• Robustifying principal component analysis with spatial sign vectors
• Asymptotic expansions for the distributions of statistics based on a correlation matrix
• Design-free estimation of variance matrices
• Fluctuations of linear eigenvalues statistics for Wigner matrices: edge case
• An improved chi-squared test for a principal component
• Origins of the limited information maximum likelihood and two-stage least squares estimators
• Selection of components in principal component analysis: A comparison of methods
• Principal components in the nonnormal case: The test of equality of q roots
• Sparse principal component analysis and iterative thresholding
• Self-consistency: A fundamental concept in statistics
• Asymptotic theory for the principal component analysis of a vector random function: Some applications to statistical inference
• Estimating cross-section common stochastic trends in nonstationary panel data
• Extreme value analysis for the sample autocovariance matrices of heavy-tailed multivariate time series
• On testing equality of pairwise rank correlations in a multivariate random vector
• Latent roots of random data correlation matrices with squared multiple correlations on the diagonal: A Monte Carlo study
• Factor analysis of correlation matrices when the number of random variables exceeds the sample size
• Principal regression for high dimensional covariance matrices
• On detection of the number of signals in presence of white noise
• Cleaning large correlation matrices: tools from random matrix theory
• Asymptotic theory for the sample covariance matrix of a heavy-tailed multivariate time series
• Convergence and prediction of principal component scores in high-dimensional settings
• Finite sample approximation results for principal component analysis: A matrix perturbation approach
• Patterns in eigenvalues: the 70th Josiah Willard Gibbs lecture
• Eigenprojections and the equality of latent roots of a correlation matrix
• Assessing the stability of principal components using regression
• On estimation of errors caused by non-linear undermodelling in system identification
• Asymptotic expansions of the distributions of the latent roots and the latent vector of the Wishart and multivariate F matrices
• A decision procedure for determining the number of components in principal component analysis
• A note on Silvey's (1959) theorem
• Model order selection for short data: an exponential fitting test (EFT)
• Tests for a family of random-effects covariance structures in a multivariate growth curve model
• 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 \(S_1S^{-1}_2\)
• 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
• One-sided test of a covariance matrix with a known null value
• On the stability of some high-resolution beamforming methods
• Identifying the informational/signal dimension in principal component analysis
• Asymptotic distributions of the latent roots of the covariance matrix with multiple population roots
• Testing the equality of several intraclass correlation coefficients
• Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices
• Asymptotic expansion for the distribution of a function of latent roots of the covariance matrix
• Projection-pursuit based principal component analysis: a large sample theory
• The asymptotic expansion of the distribution of Anderson's statistic for testing a latent vector of a covariance matrix

This page was built for publication: Asymptotic Theory for Principal Component Analysis

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5601201)