Principal Component Analysis in High-Dimensional Data
Description
In high-dimensional settings:
Estimate the number of distant spikes based on the Generalized Spiked Population (GSP) model.
Estimate the population eigenvalues, angles between the sample and population eigenvectors, correlations between the sample and population PC scores, and the asymptotic shrinkage factors.
Adjust the shrinkage bias in the predicted PC scores.
Dey, R. and Lee, S. (2019) .