Inference in Randomized Least Squares and PCA via Normality of Quadratic
Forms
Inference in Randomized Least Squares and PCA via Normality of Quadratic
Forms
Randomized algorithms can be used to speed up the analysis of large datasets. In this paper, we develop a unified methodology for statistical inference via randomized sketching or projections in two of the most fundamental problems in multivariate statistical analysis: least squares and PCA. The methodology applies to fixed datasets …