## 統計数学セミナー

担当者 吉田朋広、荻原哲平、小池祐太 http://www.sigmath.es.osaka-u.ac.jp/~kamatani/statseminar/ 確率統計学およびその関連領域に関する研究発表, 研究紹介を行う.

### 2012年11月30日(金)

14:50-16:00   数理科学研究科棟(駒場) 006号室

Effective PCA for high-dimensional, non-Gaussian data under power spiked model (JAPANESE)
[ 講演概要 ]
In this talk, we introduce a general spiked model called the power spiked model in high-dimensional 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 high-dimensional 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 high-dimensional situation, we develop new PCAs called the noise-reduction methodology and the cross-data-matrix methodology under the power spiked model. This is a joint work with Prof. Aoshima (University of Tsukuba).
[ 参考URL ]
http://www.sigmath.es.osaka-u.ac.jp/~kamatani/statseminar/2012/11.html