ESTIMATION OF SPIKED EIGENVALUES IN SPIKED MODELS

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Estimating Number of Factors by Adjusted Eigenvalues Thresholding (2019, methodology): “This estimator was introduced in Bai and Ding (2012).”
On estimation of the noise variance in high dimensional probabilistic principal component analysis (2013, methodology): “ be estimated by inverting the function ˚in (7) at the corresponding eigenvalues n;j. Moreover, by applying the delta-method to (8), we can obtain the asymptotic distribution of this estimator, see Bai and Ding (2012). As the bias depends on ˙2 which we want to estimate, a natural correction is to ”