Sparse PCA: Phase Transitions in the Critical Regime
This work studies sparse principal component analysis (PCA) in high dimensions. Given <inline-formula> <tex-math notation="LaTeX">$n$ </tex-math></inline-formula> independent <inline-formula> <tex-math notation="LaTeX">$p$ </tex-math></inline-formula>-dimensional Gaussian samples with covariance <inline-formula> <tex-m...