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On Consistency and Sparsity for Principal Components Analysis in High Dimensions


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  • Johnstone, Iain M.
  • Lu, Arthur Yu
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    Bibliographic Info

    Article provided by American Statistical Association in its journal Journal of the American Statistical Association.

    Volume (Year): 104 (2009)
    Issue (Month): 486 ()
    Pages: 682-693

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    Handle: RePEc:bes:jnlasa:v:104:i:486:y:2009:p:682-693

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    Cited by:
    1. Fan, Jianqing & Liao, Yuan & Mincheva, Martina, 2011. "Large covariance estimation by thresholding principal orthogonal complements," MPRA Paper 38697, University Library of Munich, Germany.
    2. Xi Luo, 2011. "Recovering Model Structures from Large Low Rank and Sparse Covariance Matrix Estimation," Papers 1111.1133,, revised Mar 2013.
    3. Bertrand Maillet & Sessi Tokpavi & Benoit Vaucher, 2013. "Minimum Variance Portfolio Optimisation under Parameter Uncertainty: A Robust Control Approach," EconomiX Working Papers 2013-28, University of Paris West - Nanterre la Défense, EconomiX.
    4. Peter Bentler & Jan Leeuw, 2011. "Factor Analysis via Components Analysis," Psychometrika, Springer, vol. 76(3), pages 461-470, July.
    5. Zvi Bodie & J�r�me Detemple & Marcel Rindisbacher, 2009. "Life-Cycle Finance and the Design of Pension Plans," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 249-286, November.
    6. Hong, Zhaoping & Lian, Heng, 2013. "Sparse-smooth regularized singular value decomposition," Journal of Multivariate Analysis, Elsevier, vol. 117(C), pages 163-174.
    7. Yata, Kazuyoshi & Aoshima, Makoto, 2010. "Effective PCA for high-dimension, low-sample-size data with singular value decomposition of cross data matrix," Journal of Multivariate Analysis, Elsevier, vol. 101(9), pages 2060-2077, October.
    8. Yata, Kazuyoshi & Aoshima, Makoto, 2013. "PCA consistency for the power spiked model in high-dimensional settings," Journal of Multivariate Analysis, Elsevier, vol. 122(C), pages 334-354.
    9. Nickolay Trendafilov, 2014. "From simple structure to sparse components: a review," Computational Statistics, Springer, vol. 29(3), pages 431-454, June.
    10. Bai, Jushan & Liao, Yuan, 2012. "Efficient Estimation of Approximate Factor Models," MPRA Paper 41558, University Library of Munich, Germany.
    11. Nikulin, Vladimir & Huang, Tian-Hsiang & Ng, Shu-Kay & Rathnayake, Suren I. & McLachlan, Geoffrey J., 2011. "A very fast algorithm for matrix factorization," Statistics & Probability Letters, Elsevier, vol. 81(7), pages 773-782, July.
    12. Onatski, Alexei, 2012. "Asymptotics of the principal components estimator of large factor models with weakly influential factors," Journal of Econometrics, Elsevier, vol. 168(2), pages 244-258.
    13. Chen, Songxi, 2012. "Two Sample Tests for High Dimensional Covariance Matrices," MPRA Paper 46026, University Library of Munich, Germany.
    14. Clifford Lam & Qiwei Yao & Neil Bathia, 2011. "Estimation of latent factors for high-dimensional time series," LSE Research Online Documents on Economics 31549, London School of Economics and Political Science, LSE Library.


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