Number of relevant directions in Principal Component Analysis and Wishart random matrices
Satya N. Majumdar 1, Pierpaolo Vivo 1 Physical Review Letters 108 (2012) 200601 We compute analytically, for large $N$, the probability $\mathcal{P}(N_+,N)$ that a $N\times N$ Wishart random matrix has $N_+$ eigenvalues exceeding a threshold $N\zeta$, including its large deviation tails. This probability plays a benchmark role when performing the Principal Component Analysis of a large empirical dataset. We […]
