Empirical Bayes Covariance Decomposition, and a solution to the Multiple Tuning Problem in Sparse PCA

no code implementations • 6 Dec 2023 • Joonsuk Kang, Matthew Stephens

We show that this formulation also leads to a penalized decomposition of the covariance (or Gram) matrix, $\mathbf{X}^T\mathbf{X}$.