EDGEWORTH CORRECTION FOR THE LARGEST EIGENVALUE IN A SPIKED PCA MODEL.
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DOI: 10.5705/ss.202017.0296
Abstract: We study improved approximations to the distribution of the largest eigenvalue ℓ ^ of the sample covariance matrix of n zero-mean Gaussian observations in dimension p + 1. We assume that one population principal component… read more here.
Keywords: eigenvalue spiked; correction; spiked pca; correction largest ... See more keywords