Software implementation for ePCA and denoising as described in the paper:
- Lydia T. Liu, Edgar Dobriban and Amit Singer. ePCA: High Dimensional Exponential Family PCA. Ann. Appl. Stat., Volume 12, Number 4 (2018), 2121-2150.
The manuscript is also available on arXiv.
software/: software for applying ePCA on one's own datasets. In particular,
exp_fam_pca.mimplements ePCA and
wiener_filter.mimplements the generalized wiener filter (or EBLP) for denoising, as introduced in the aforementioned paper.
experiments/: scripts for reproducing experimental results in the aforementioned paper. Large datasets are excluded.
MATLAB. No other downloads are required.
This implementation uses
standard_spiked_forward.m from EigenEdge.