Convergence and prediction of principal component scores in high-dimensional settings
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Abstract: A number of settings arise in which it is of interest to predict Principal Component (PC) scores for new observations using data from an initial sample. In this paper, we demonstrate that naive approaches to PC score prediction can be substantially biased toward 0 in the analysis of large matrices. This phenomenon is largely related to known inconsistency results for sample eigenvalues and eigenvectors as both dimensions of the matrix increase. For the spiked eigenvalue model for random matrices, we expand the generality of these results, and propose bias-adjusted PC score prediction. In addition, we compute the asymptotic correlation coefficient between PC scores from sample and population eigenvectors. Simulation and real data examples from the genetics literature show the improved bias and numerical properties of our estimators.
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Cited in
(19)- Reconstruction of a low-rank matrix in the presence of Gaussian noise
- Adjusting systematic bias in high dimensional principal component scores
- Convergence of sample eigenvectors of spiked population model
- Computation of ancestry scores with mixed families and unrelated individuals
- Boundary behavior in high dimension, low sample size asymptotics of PCA
- Principal components in linear mixed models with general bulk
- \(e\)PCA: high dimensional exponential family PCA
- Detection, reconstruction, and characterization algorithms from noisy data in multistatic wave imaging
- Quantile regression estimation of partially linear additive models
- Asymptotic properties of principal component analysis and shrinkage-bias adjustment under the generalized spiked population model
- Modelling functional additive quantile regression using support vector machines approach
- Targeted random projection for prediction from high-dimensional features
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- On the number of principal components in high dimensions
- Convergence of algorithms used for principal component analysis
- Statistical inference for high-dimension, low-sample-size data
- Multidimensional scaling of noisy high dimensional data
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