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Approximate Gaussianity conjecture for heteroskedastic PCA covariance errors
Approximate Gaussianity conjecture. The error $S_{i,j}-S_{i,j}^{\star}=W_{i,j}+A_{i,j}$ is approximately distributed as
Conjectureopenasymptotic-statistics heteroskedastic-pca missing-dataarXiv posted 2 days ago

Approximate Gaussianity conjecture for heteroskedastic PCA covariance errors