Asymptotic Theory for Principal Component Analysis
نویسندگان
چکیده
منابع مشابه
Towards theory of generic Principal Component Analysis
In this paper, we consider a technique called the generic Principal Component Analysis (PCA) which is based on an extension and rigorous justification of the standard PCA. The generic PCA is treated as the best weighted linear estimator of a given rank under the condition that the associated covariance matrix is singular. As a result, the generic PCA is constructed in terms of the pseudo-invers...
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ژورنال
عنوان ژورنال: The Annals of Mathematical Statistics
سال: 1963
ISSN: 0003-4851
DOI: 10.1214/aoms/1177704248