Wald Statistics in high-dimensional PCA

DOI10.1051/PS/2019002MaRDI QIDQ5881043zbMATH OpenOpenAlexWikidataFDO

Authors Matthias Löffler

Publication date 9 March 2023

Published in ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1805.03839

zbMATH Keywords

central limit theoremconfidence setsgoodness of fit testsPCAspectral projectors

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Parametric tolerance and confidence regions (62F25) Factor analysis and principal components; correspondence analysis (62H25)

Recommendations

• Principal component analysis (PCA) for high-dimensional data. PCA is dead. Long live PCA
• High-dimensional principal projections
• Efficient estimation of linear functionals of principal components
• PCA consistency in high dimension, low sample size context
• Sharp detection in PCA under correlations: all eigenvalues matter

Cites work

• Asymptotic chi-square tests for a large class of factor analysis models
• Asymptotic Theory for Principal Component Analysis
• Asymptotics and concentration bounds for bilinear forms of spectral projectors of sample covariance
• Asymptotics of empirical eigenstructure for high dimensional spiked covariance
• Asymptotics of sample eigenstructure for a large dimensional spiked covariance model
• Bayesian inference for spectral projectors of the covariance matrix
• Concentration inequalities and moment bounds for sample covariance operators
• Confidence sets for spectral projectors of covariance matrices
• Finite sample approximation results for principal component analysis: A matrix perturbation approach
• scientific article; zbMATH DE number 3942782 (Why is no real title available?)
• Minimax sparse principal subspace estimation in high dimensions
• New asymptotic results in principal component analysis
• Normal approximation and concentration of spectral projectors of sample covariance
• On consistency and sparsity for principal components analysis in high dimensions
• On estimation of the noise variance in high dimensional probabilistic principal component analysis
• On the distribution of the largest eigenvalue in principal components analysis
• Optimal detection of sparse principal components in high dimension
• Rate-optimal posterior contraction for sparse PCA
• Sparse PCA: optimal rates and adaptive estimation
• Statistical and computational trade-offs in estimation of sparse principal components
• Tests of Statistical Hypotheses Concerning Several Parameters When the Number of Observations is Large

Cited in

(1)

• Quantitative limit theorems and bootstrap approximations for empirical spectral projectors

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