相关论文: Fixed-order PCA: Theory for Overestimated Factor M…

Principal Component Analysis (PCA) is a method for estimating a subspace given noisy samples. It is useful in a variety of problems ranging from dimensionality reduction to anomaly detection and the visualization of high dimensional data.…

Principal component analysis (PCA) frequently suffers from the disturbance of outliers and thus a spectrum of robust extensions and variations of PCA have been developed. However, existing extensions of PCA treat all samples equally even…

Principal Component Analysis (PCA) is a transform for finding the principal components (PCs) that represent features of random data. PCA also provides a reconstruction of the PCs to the original data. We consider an extension of PCA which…

Principal component analysis (PCA) is a classical method for dimensionality reduction based on extracting the dominant eigenvectors of the sample covariance matrix. However, PCA is well known to behave poorly in the ``large $p$, small $n$''…

Principal component analysis (PCA) is a well-established method commonly used to explore and visualise data. A classical PCA model is the fixed effect model where data are generated as a fixed structure of low rank corrupted by noise. Under…

With the development of high-throughput technologies, principal component analysis (PCA) in the high-dimensional regime is of great interest. Most of the existing theoretical and methodological results for high-dimensional PCA are based on…

Principal Component Analysis (PCA) is a classical method for reducing the dimensionality of data by projecting them onto a subspace that captures most of their variation. Effective use of PCA in modern applications requires understanding…

We study principal components regression (PCR) in an asymptotic high-dimensional regression setting, where the number of data points is proportional to the dimension. We derive exact limiting formulas for the estimation and prediction…

This paper considers the estimation and inference of the low-rank components in high-dimensional matrix-variate factor models, where each dimension of the matrix-variates ($p \times q$) is comparable to or greater than the number of…

A high-dimensional $r$-factor model for an $n$-dimensional vector time series is characterised by the presence of a large eigengap (increasing with $n$) between the $r$-th and the $(r+1)$-th largest eigenvalues of the covariance matrix.…

Principal component analysis (PCA) is very popular to perform dimension reduction. The selection of the number of significant components is essential but often based on some practical heuristics depending on the application. Only few works…

We study the estimation of a high dimensional approximate factor model in the presence of both cross sectional dependence and heteroskedasticity. The classical method of principal components analysis (PCA) does not efficiently estimate the…

Sparse Principal Component Analysis (PCA) methods are efficient tools to reduce the dimension (or the number of variables) of complex data. Sparse principal components (PCs) are easier to interpret than conventional PCs, because most…

Principal components analysis (PCA) is a well-known technique for approximating a tabular data set by a low rank matrix. Here, we extend the idea of PCA to handle arbitrary data sets consisting of numerical, Boolean, categorical, ordinal,…

Principal component analysis (PCA) is a widespread technique for data analysis that relies on the covariance-correlation matrix of the analyzed data. However to properly work with high-dimensional data, PCA poses severe mathematical…

How do statistical dependencies in measurement noise influence high-dimensional inference? To answer this, we study the paradigmatic spiked matrix model of principal components analysis (PCA), where a rank-one matrix is corrupted by…

Principal components analysis (PCA) is the optimal linear auto-encoder of data, and it is often used to construct features. Enforcing sparsity on the principal components can promote better generalization, while improving the…

Principal Component Analysis (PCA) is a well known procedure to reduce intrinsic complexity of a dataset, essentially through simplifying the covariance structure or the correlation structure. We introduce a novel algebraic, model-based…

Factor models are a class of powerful statistical models that have been widely used to deal with dependent measurements that arise frequently from various applications from genomics and neuroscience to economics and finance. As data are…

Principal component analysis (PCA) is one of the most popular dimension reduction techniques in statistics and is especially powerful when a multivariate distribution is concentrated near a lower-dimensional subspace. Multivariate extreme…