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)

• 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
• Principal component analysis for multivariate extremes
• Testing for common principal components under heterokurticity
• The power of the likelihood ratio test for additional information in a multivariate linear model
• Perturbation theory for cross data matrix-based PCA
• Asymptotic conditional singular value decomposition for high-dimensional genomic data
• THE ESTIMATION OF SPECTRUM, INVERSE SPECTRUM AND INVERSE AUTOCOVARIANCES OF A STATIONARY TIME SERIES
• A Selection Procedure for the Number of Signals in Presence of Colored Noise
• Backward nested descriptors asymptotics with inference on stem cell differentiation
• Limiting distribution of roots with differential rates of convergence
• A note on the limiting distribution of certain characteristic roots
• On the convergence of the ordered roots of a sequence of determinantal equations
• Distributions of characteristic roots in multivariate analysis Part II. Non-Null Distribution
• Simultaneous tests for equality of latent roots against certain alternatives. I
• Resolution-based complexity control for Gaussian mixture models
• Choosing Principal Components: A New Graphical Method Based on Bayesian Model Selection
• A Simple Rule for the Selection of Principal Components
• Bayes estimation of number of signals
• The asymptotic distribution of a goodness of fit statistic for factorial invariance
• Quadratic discriminant functions with constraints on the covariance matrices: Some asymptotic results
• Polynomial estimation of eigenvalues
• A test of the hypothesis of partial common principal components
• A graphical procedure for comparing the principal components of several covariance matrices
• Principal Component Analysis of High-Frequency Data
• Test of linear trend in eigenvalues of k covariance matrices with applications in common principal components analysis
• Testing dimensionality in the multivariate analysis of variance
• Convergence rates of eigenvector empirical spectral distribution of large dimensional sample covariance matrix
• Maximum likelihood estimation and MUSIC in array localization signal processing: A review
• On tail index estimation based on multivariate data
• Dependence measures for model selection in singular spectrum analysis
• Title not available (Why is that?)
• 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

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