Diffusions of perturbed principal component analysis
AbstractWe propose a stochastic differential equation approach to principal component analysis. We give the equations governing the spectrum of the square BTB of a n-p matrix of independent Brownian motions. We apply this result to P.C.A. of perturbed continuous data.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Multivariate Analysis.
Volume (Year): 29 (1989)
Issue (Month): 1 (April)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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