Eigenvalues of large sample covariance matrices of spiked population models
Journal of Multivariate Analysis
Journal of Multivariate Analysis
Boundary behavior in High Dimension, Low Sample Size asymptotics of PCA
Journal of Multivariate Analysis
Sparse-smooth regularized singular value decomposition
Journal of Multivariate Analysis
Correlation tests for high-dimensional data using extended cross-data-matrix methodology
Journal of Multivariate Analysis
PCA consistency for the power spiked model in high-dimensional settings
Journal of Multivariate Analysis
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In this paper, we propose a new methodology to deal with PCA in high-dimension, low-sample-size (HDLSS) data situations. We give an idea of estimating eigenvalues via singular values of a cross data matrix. We provide consistency properties of the eigenvalue estimation as well as its limiting distribution when the dimension d and the sample size n both grow to infinity in such a way that n is much lower than d. We apply the new methodology to estimating PC directions and PC scores in HDLSS data situations. We give an application of the findings in this paper to a mixture model to classify a dataset into two clusters. We demonstrate how the new methodology performs by using HDLSS data from a microarray study of prostate cancer.