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van der Veen, A.J. (author), Romme, J.P.A. (author), Cui, Ye (author)In Principal Component Analysis (PCA), the dimension of the signal subspace is detected by counting the number of eigenvalues of a covariance matrix that are above a threshold. Random matrix theory provides accurate estimates for this threshold if the underlying data matrix has independent identically distributed columns. However, in time series...conference paper 2020