| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10526256 | Statistics & Probability Letters | 2005 | 8 Pages |
Abstract
Principal components analysis relates to the eigenvalue distribution of Wishart matrices. Given few observations and very many variables this distribution maps to eigenvalue statistics in the Gaussian orthogonal ensemble. Principal components selection can then be based on existing analytical results.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Nils Lehmann,