Diffusions of perturbed principal component analysis

Marie-France Bru

Journal of Multivariate Analysis, 1989, vol. 29, issue 1, 127-136

Abstract: We propose a stochastic differential equation approach to principal component analysis. We give the equations governing the spectrum of the square BTB of a n-p matrix of independent Brownian motions. We apply this result to P.C.A. of perturbed continuous data.

Keywords: stochastic; differential; equations; sample; covariance; matrix; eigenvalues; principal; component; analysis (search for similar items in EconPapers)
Date: 1989
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Citations: View citations in EconPapers (12)

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