High-dimensional analysis of semidefinite relaxations for sparse principal components
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Publication:834367
DOI10.1214/08-AOS664zbMath1173.62049arXiv0803.4026MaRDI QIDQ834367
Arash A. Amini, Martin J. Wainwright
Publication date: 19 August 2009
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0803.4026
semidefinite programming; random matrices; spectral analysis; convex relaxation; sparsity; high-dimensional statistics; principal components analysis; spiked covariance ensembles; Wishart ensembles
62F12: Asymptotic properties of parametric estimators
62H25: Factor analysis and principal components; correspondence analysis
90C90: Applications of mathematical programming
60F10: Large deviations
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