Regularizing the Eigenstructure
Published in Wiley series in probability and statistics • Jun 24, 2013
NobleIDNI0P01W70R54S39
Authors:
Mohsen Pourahmadi
Abstract
The chapter focuses first on shrinking the eigenvalues, and then an overview of various methods for regularizing the eigenvectors of the sample covariance matrix. Recognizing that principal component analysis (PCA) and the singular value decomposition (SVD) are closely related to each other, the cha...
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