most citedNoise Estimation in the Spiked Covariance Model

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math.ST2014★ 2 cited

Noise Estimation in the Spiked Covariance Model

Didier Chételat, Martin T. Wells

The problem of estimating a spiked covariance matrix in high dimensions under Frobenius loss, and the parallel problem of estimating the noise in spiked PCA is investigated. We pro…