統計数学セミナー
Seminar on Probability and Statistics 
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Seminar on Probability and Statistics Friday November 30 2012 Tokyo 006 2:504:00 pm
Effective PCA for highdimensional, nonGaussian data under power spiked model
矢田 和善 / YATA, Kazuyoshi 筑波大学 数理物質科学研究科 / Institute of Mathematics, University of Tsukuba Abstract In this talk, we introduce a general spiked model called the power spiked
model in highdimensional settings. We first consider asymptotic
properties of the conventional estimator of eigenvalues under the power
spiked model. We give several conditions on the dimension $p$, the sample
size $n$ and the highdimensional noise structure in order to hold several
consistency properties of the estimator. We show that the estimator is
affected by the noise structure, directly, so that the estimator becomes
inconsistent for such cases. In order to overcome such difficulties in a
highdimensional situation, we develop new PCAs called the noisereduction
methodology and the crossdatamatrix methodology under the power spiked
model. This is a joint work with Prof. Aoshima (University of Tsukuba).

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Seminar on Probability and Statistics 