Heteroskedastic PCA: algorithm, optimality, and applications
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Publication:2119219
DOI10.1214/21-AOS2074zbMath1486.62183arXiv1810.08316MaRDI QIDQ2119219
Publication date: 23 March 2022
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1810.08316
singular value decompositionprincipal component analysisperturbation boundheteroskedasticityfactor analysis model
Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Minimax procedures in statistical decision theory (62C20)
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