2019
DOI: 10.1101/808527
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Semiparametric Partial Common Principal Component Analysis for Covariance Matrices

Abstract: We consider the problem of jointly modeling multiple covariance matrices by partial common principal component analysis (PCPCA), which assumes a proportion of eigenvectors to be shared across covariance matrices and the rest to be individual specific. This paper proposes consistent estimators of shared eigenvectors (called CPCs) in PCPCA as the number of matrices or the number of samples to estimate each matrix goes to infinity. We prove such asymptotic results without making any assumptions on the ranks of th… Show more

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Cited by 2 publications
(2 citation statements)
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“…Flury (1984), Benko et al (2009)) and partial common principal component analysis (PCPCA, see e.g. Flury (1987), Schott (1999), Wang et al (2019)) aim to find the common principal component for multi-group multivariate data. Crainiceanu et al (2011) proposed a population value decomposition (PVD) procedure, and the common eigenvectors are obtained from concatenated individual eigenvectors.…”
Section: Existing Fpca Methods For Multivariate Functional Datamentioning
confidence: 99%
“…Flury (1984), Benko et al (2009)) and partial common principal component analysis (PCPCA, see e.g. Flury (1987), Schott (1999), Wang et al (2019)) aim to find the common principal component for multi-group multivariate data. Crainiceanu et al (2011) proposed a population value decomposition (PVD) procedure, and the common eigenvectors are obtained from concatenated individual eigenvectors.…”
Section: Existing Fpca Methods For Multivariate Functional Datamentioning
confidence: 99%
“…A pioneering method for linked data is common principal component analysis (Flury, 1984, PCA), which can identify the same set of orthogonal eigenvectors shared across data sets. CPCA was extended to extract shared signal subspace present across data sets (Flury, 1987) and to determine the number of shared components (Wang and others , 2020). Another extension based on matrix decomposition, population value decomposition (Crainiceanu and others , 2011) extends CPCA to matrix-valued data, e.g., neuroimaging and electrophysiology data.…”
Section: Introductionmentioning
confidence: 99%