IDEAS home Printed from https://ideas.repec.org/a/eee/jmvana/v29y1989i1p127-136.html
   My bibliography  Save this article

Diffusions of perturbed principal component analysis

Author

Listed:
  • Bru, Marie-France

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.

Suggested Citation

  • Bru, Marie-France, 1989. "Diffusions of perturbed principal component analysis," Journal of Multivariate Analysis, Elsevier, vol. 29(1), pages 127-136, April.
    • Handle: RePEc:eee:jmvana:v:29:y:1989:i:1:p:127-136
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0047-259X(89)90080-8
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Nourdin, Ivan & Pu, Fei, 2022. "Gaussian fluctuation for Gaussian Wishart matrices of overall correlation," Statistics & Probability Letters, Elsevier, vol. 181(C).
    2. Jolliffe, Ian, 2022. "A 50-year personal journey through time with principal component analysis," Journal of Multivariate Analysis, Elsevier, vol. 188(C).
    3. Stephan Lawi, 2008. "Towards a Characterization of Markov Processes Enjoying the Time-Inversion Property," Journal of Theoretical Probability, Springer, vol. 21(1), pages 144-168, March.
    4. Gourieroux, C. & Jasiak, J. & Sufana, R., 2009. "The Wishart Autoregressive process of multivariate stochastic volatility," Journal of Econometrics, Elsevier, vol. 150(2), pages 167-181, June.
    5. Carlos G. Pacheco, 2016. "Picard Iterations for Diffusions on Symmetric Matrices," Journal of Theoretical Probability, Springer, vol. 29(4), pages 1444-1457, December.
    6. Mayerhofer, Eberhard & Pfaffel, Oliver & Stelzer, Robert, 2011. "On strong solutions for positive definite jump diffusions," Stochastic Processes and their Applications, Elsevier, vol. 121(9), pages 2072-2086, September.
    7. Benjamin Jourdain & Ezéchiel Kahn, 2022. "Strong Solutions to a Beta-Wishart Particle System," Journal of Theoretical Probability, Springer, vol. 35(3), pages 1574-1613, September.
    8. Christa Cuchiero & Damir Filipovi'c & Eberhard Mayerhofer & Josef Teichmann, 2009. "Affine processes on positive semidefinite matrices," Papers 0910.0137, arXiv.org, revised Apr 2011.
    9. Trinh, Hoang Dung & Trinh, Khanh Duy, 2021. "Beta Laguerre processes in a high temperature regime," Stochastic Processes and their Applications, Elsevier, vol. 136(C), pages 192-205.
    10. Nualart, David & Pérez-Abreu, Victor, 2014. "On the eigenvalue process of a matrix fractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 124(12), pages 4266-4282.
    11. Song, Jian & Yao, Jianfeng & Yuan, Wangjun, 2022. "Recent advances on eigenvalues of matrix-valued stochastic processes," Journal of Multivariate Analysis, Elsevier, vol. 188(C).

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:29:y:1989:i:1:p:127-136. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.