Torokhti, Anatoli; Friedland, Shmuel - In: Journal of Multivariate Analysis 100 (2009) 4, pp. 661-669
In this paper, we consider a technique called the generic Principal Component Analysis (PCA) which is based on an extension and rigorous justification of the standard PCA. The generic PCA is treated as the best weighted linear estimator of a given rank under the condition that the associated...