Seminar on Probability and Statistics

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Organizer(s) Nakahiro Yoshida, Teppei Ogihara, Yuta Koike

2012/11/30

14:50-16:00   Room #006 (Graduate School of Math. Sci. Bldg.)
YATA, Kazuyoshi (Institute of Mathematics, University of Tsukuba)
Effective PCA for high-dimensional, non-Gaussian data under power spiked model (JAPANESE)
[ Abstract ]
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).
[ Reference URL ]
http://www.sigmath.es.osaka-u.ac.jp/~kamatani/statseminar/2012/11.html