High-probability bounds for the reconstruction error of PCA

Cassandra Milbradt and Martin Wahl

Statistics & Probability Letters, 2020, vol. 161, issue C

Abstract: We derive high-probability bounds for the reconstruction error of PCA in infinite dimensions. We apply our bounds in the case that the eigenvalues of the covariance operator satisfy polynomial or exponential upper bounds.

Keywords: Principal component analysis; Reconstruction error; Oracle inequality; Polynomial chaos (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.spl.2020.108741

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