Convergence of sample eigenvalues, eigenvectors, and principal component scores for ultra-high dimensional data

• 成果类型: Article
• 署名作者: Lee, Seunggeun; Zou, Fei; Wright, Fred A.
• 署名单位: University of Michigan System; University of Michigan; University of North Carolina; University of North Carolina Chapel Hill; North Carolina State University
• 刊物名称: BIOMETRIKA
• ISSN/ISSBN: 0006-3444
• DOI: 10.1093/biomet/ast064
• 发表日期: 2014
• 页码: 484490
• 关键词: geometric representation; asymptotics; PCA

摘要

The development of high-throughput biomedical technologies has led to increased interest in the analysis of high-dimensional data where the number of features is much larger than the sample size. In this paper, we investigate principal component analysis under the ultra-high dimensional regime, where both the number of features and the sample size increase as the ratio of the two quantities also increases. We bridge the existing results from the finite and the high-dimension low sample size regimes, embedding the two regimes in a more general framework. We also numerically demonstrate the universal application of the results from the finite regime.