De-Biased Sparse PCA: Inference for Eigenstructure of Large Covariance Matrices

DOI10.1109/TIT.2021.3059765zbMath1473.62204OpenAlexW3131424090MaRDI QIDQ5001646

Jana Janková, Sara van de Geer

Publication date: 22 July 2021

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tit.2021.3059765

zbMATH Keywords

Gaussian limiting distributionM-estimator with Lasso penalty

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Parametric tolerance and confidence regions (62F25) Ridge regression; shrinkage estimators (Lasso) (62J07)

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