Seminar 217, Risk Management: Empirical Bayes PCA in high dimensions

Seminar 217, Risk Management: Empirical Bayes PCA in high dimensions

Risk Seminar
Sep 27, 2022, 11:00 AM - 12:30 PM | Zoom | Happening As Scheduled
Xinyi Zhong, Yale (Speaker - Featured)

When the dimension of data is comparable to or larger than the number of data samples, Principal Components Analysis (PCA) may exhibit problematic high-dimensional noise. In this work, we propose an Empirical Bayes PCA method that reduces this noise by estimating a joint prior distribution for the principal components. EB-PCA is based on the classical Kiefer-Wolfowitz nonparametric MLE for...