High-probability bounds for the reconstruction error of PCA
arXiv:1909.10787 · doi:10.1016/j.spl.2020.108741
Abstract
We derive high-probability bounds for the reconstruction error of PCA in infinite dimensions. We apply our bounds in the case that the eigenvalues of the covariance operator satisfy polynomial or exponential upper bounds.
10 pages, to appear in Statistics & Probability Letters