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Principal component analysis (PCA) is one of the most widely used dimension reduction and multivariate statistical techniques. From a probabilistic perspective, PCA seeks a low-dimensional representation of data in the presence of…
High-dimensional data often exhibit dependencies among variables that violate the isotropic-noise assumption under which principal component analysis (PCA) is optimal. For cases where the noise is not independent and identically distributed…
Principal component analysis (PCA) is largely adopted for chemical process monitoring and numerous PCA-based systems have been developed to solve various fault detection and diagnosis problems. Since PCA-based methods assume that the…
Principal Component analysis (PCA) is a useful statistical technique that is commonly used for multivariate analysis of correlated variables. It is usually applied as a dimension reduction method: the top principal components (PCs)…
Principal component analysis (PCA) has been a prominent tool for high-dimensional data analysis. Online algorithms that estimate the principal component by processing streaming data are of tremendous practical and theoretical interests.…
Sparse principal component analysis (SPCA) is a popular tool for dimensionality reduction in high-dimensional data. However, there is still a lack of theoretically justified Bayesian SPCA methods that can scale well computationally. One of…
We present a comprehensive assessment of multiparameter tests of general relativity (GR) in the inspiral regime of compact binary coalescences using principal component analysis (PCA). Our analysis is based on an extensive set of simulated…
In this paper we develop a complete analytical framework based on Random Matrix Theory for the performance evaluation of Eigenvalue-based Detection. While, up to now, analysis was limited to false-alarm probability, we have obtained an…
In this paper, we develop new statistical theory for probabilistic principal component analysis models in high dimensions. The focus is the estimation of the noise variance, which is an important and unresolved issue when the number of…
We present a new straightforward principal component analysis (PCA) method based on the diagonalization of the weighted variance-covariance matrix through two spectral decomposition methods: power iteration and Rayleigh quotient iteration.…
Principal Component Analysis (PCA) is the most widely used tool for linear dimensionality reduction and clustering. Still it is highly sensitive to outliers and does not scale well with respect to the number of data samples. Robust PCA…
We consider the following detection problem: given a realization of a symmetric matrix ${\mathbf{X}}$ of dimension $n$, distinguish between the hypothesis that all upper triangular variables are i.i.d. Gaussians variables with mean 0 and…
Principal component analysis (PCA) algorithms use neural networks to extract the eigenvectors of the correlation matrix from the data. However, if the process is non-Gaussian, PCA algorithms or their higher order generalisations provide…
Recently years, the attempts on distilling mobile data into useful knowledge has been led to the deployment of machine learning algorithms at the network edge. Principal component analysis (PCA) is a classic technique for extracting the…
Sparse Principal Component Analysis (sPCA) is a popular matrix factorization approach based on Principal Component Analysis (PCA) that combines variance maximization and sparsity with the ultimate goal of improving data interpretation. When…
Principal Component Analysis (PCA) has wide applications in machine learning, text mining and computer vision. Classical PCA based on a Gaussian noise model is fragile to noise of large magnitude. Laplace noise assumption based PCA methods…
We study the problem of estimating a rank-$1$ signal in the presence of rotationally invariant noise-a class of perturbations more general than Gaussian noise. Principal Component Analysis (PCA) provides a natural estimator, and sharp…
We investigate the potential of quickest detection based on the eigenvalues of the sample covariance matrix for spectrum sensing applications. A simple phase shift keying (PSK) model with additive white Gaussian noise (AWGN), with $1$…
Given a sample covariance matrix, we examine the problem of maximizing the variance explained by a linear combination of the input variables while constraining the number of nonzero coefficients in this combination. This is known as sparse…
We study improved approximations to the distribution of the largest eigenvalue $\hat{\ell}$ of the sample covariance matrix of $n$ zero-mean Gaussian observations in dimension $p+1$. We assume that one population principal component has…