Yunjin Choi, Jonathan Taylor, Robert Tibshirani, SELECTING THE NUMBER OF PRINCIPAL COMPONENTS: ESTIMATION OF THE TRUE RANK OF A NOISY MATRIX, The Annals of Statistics, Vol. 45, No. 6 (December 2017), ...

In applying statistical methods such as principal component analysis, canonical correlation analysis, and sufficient dimension reduction, we need to determine how many eigenvectors of a random matrix ...