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Diagonal Attenuation: A Finite-Sample Correction for PCA

This story is from 2026-09-09. It is preserved in the archive; the latest stories are on the live feed.

arXiv:2609.05796v1 Announce Type: new Abstract: Principal component analysis (PCA) can rotate away from its population target when a covariance matrix is estimated from limited data. We introduce diagonal attenuation, which preserves sample cross-covariances while reducing coordinatewise sample var…

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  1. 2026-09-09 04:00 · arXiv stat.ML
    Diagonal Attenuation: A Finite-Sample Correction for PCA

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