Semiparametric partial common principal component analysis for covariance matrices
We consider the problem of jointly modeling multiple covariance matrices by partial common principal component analysis (PCPCA), which assumes a proportion of eigenvectors to be shared across covariance matrices and the rest to be individual-specific. This paper proposes consistent estimators of the...
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
John Wiley and Sons Inc
2021
|
| Subjects: | |
| Online Access: | View Fulltext in Publisher |