Asymptotic performance analysis of PCA algorithms based on the weighted subspace criterion

Jean-Pierre Delmas (1, 2, 3, 4) , Victor Gabillon (2, 3, 4)

1 TIPIC-SAMOVAR - Traitement de l'Information Pour Images et Communications
2 TSP - CITI - Communications, Images et Traitement de l'Information
3 SAMOVAR - Services répartis, Architectures, MOdélisation, Validation, Administration des Réseaux
4 CNRS - Centre National de la Recherche Scientifique

This paper studies the asymptotic distribution of the eigenvectors estimated by some PCA algorithms based on the weighted subspace criterion. This enables us to analyse how the choice of the weighting matrix affects the algorithm's performance, an issue previously overlooked

Mots clés: Asymptotic performance analysis; Weighted subspace criterion; Principal component analysis

Domaines: Traitement du signal et de l'image [eess.SP]

Jean-Pierre Delmas, Victor Gabillon. Asymptotic performance analysis of PCA algorithms based on the weighted subspace criterion. ICASSP 2009 : IEEE International Conference on Acoustics, Speech, and Signal Processing, Apr 2009, Tapei, Taiwan. pp.3237 - 3240, ⟨10.1109/ICASSP.2009.4960314⟩. ⟨hal-00444515⟩