Asymptotic Theory for Principal Component Analysis

@inproceedings{Anderson1963AsymptoticTF,
  title={Asymptotic Theory for Principal Component Analysis},
  author={Theodore Wilbur Anderson},
  year={1963}
}
Abstract : The asymptotic distribution of the characteristic roots and (normalized) vectors of a sample covariance matrix is given when the observations are from a multivariate normal distribution whose covariance matrix has characteristic roots of arbitrary multiplicity. The elements of each characteristic vector are the coefficients of a principal component (with sum of squares of coefficients being unity), and the corresponding characteristic root is the variance of the principal component… CONTINUE READING

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