Optimally Weighted PCA for High-Dimensional Heteroscedastic Data

DOI10.1137/22M1470244OpenAlexW4361199992MaRDI QIDQ5888296

No author found.

Publication date: 24 April 2023

Published in: SIAM Journal on Mathematics of Data Science (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1810.12862

zbMATH Keywords

principal component analysislarge-dimensional dataoptimal weightingheterogeneous quality

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25)

Uses Software

• OptShrink

Cites Work

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