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math.ST2025
Tracy-Widom, Gaussian, and Bootstrap: Approximations for Leading Eigenvalues in High-Dimensional PCA
Nina Dörnemann, Miles E. Lopes
Under certain conditions, the largest eigenvalue of a sample covariance matrix undergoes a well-known phase transition when the sample size and data dimension diverge propo…
math.ST2021★ 1 cited
Rates of Bootstrap Approximation for Eigenvalues in High-Dimensional PCA
Junwen Yao, Miles E. Lopes
In the context of principal components analysis (PCA), the bootstrap is commonly applied to solve a variety of inference problems, such as constructing confidence intervals for the…