Bayesian Analysis of Spiked Covariance Models: Correcting Eigenvalue Bias and Determining the Number of Spikes

Kwangmin Lee, Sewon Park, Seongmin Kim +1

We study Bayesian inference in the spiked covariance model, where a small number of spiked eigenvalues dominate the spectrum. Our goal is to infer the spiked eigenvalues, their cor…