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Robust Principal Component Analysis in Hilbert spaces · Around

2016

Robust Principal Component Analysis in Hilbert spaces

Giulini, Ilaria

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We propose a stable version of Principal Component Analysis (PCA) in the general framework of a separable Hilbert space.

It consists in interpreting the projection on the first eigenvectors as a step function applied to the spectrum of the covariance operator and in replacing it with a smooth cut-off of the eigenvalues.
We study the problem from a statistical point of view, so that we assume that we do not have direct access to the covariance operator but we have to estimate it from an i.i.d.
sample.

Built on

Ramsay, J. O. and Silverman, B. W
1997
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Schölkopf, B., Smola, A. and Müller, K
1998
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Rudelson, M
1999
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Shawe-Taylor J., Williams, C., Cristianini, N. and Kandola, J
2002
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Boyd, S. and Vandenberghe, L
2004
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Shawe-Taylor J., Williams, C., Cristianini, N. and Kandola, J
2005
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Zwald, L. and Blanchard, G
2005
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Then

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