Optimal Spectral Shrinkage and PCA with Heteroscedastic Noise

Abstract: I will present recent results on the related problems of denoising, covariance estimation, and principal component analysis for the spiked covariance model with heteroscedastic noise. Specifically, I will present an estimator of the principal components based on whitening the noise, and optimal spectral shrinkers for use with these estimated principal components. I will also show new results on the optimality of whitening for principal subspace estimation. This is joint work with Elad Romanov of the Hebrew University.