Optimality and sub-optimality of PCA I: Spiked random matrix models
نویسندگان
چکیده
منابع مشابه
Optimality and Sub-optimality of PCA for Spiked Random Matrices and Synchronization
A central problem of random matrix theory is to understand the eigenvalues of ‘spiked’ or ‘deformed’ random matrix models, in which a prominent eigenvector (or ‘spike’) is planted into a random matrix. These distributions form natural statistical models for principal component analysis (PCA) problems throughout the sciences. Baik, Ben Arous, and Péché [2005] showed that the spiked Wishart ensem...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2018
ISSN: 0090-5364
DOI: 10.1214/17-aos1625