MWPCA Procedure

Brand, M. (2006). “Fast Low-Rank Modifications of the Thin Singular Value Decomposition.” Linear Algebra and Its Applications 415:20–30.

Candès, E. J., Li, X., Ma, Y., and Wright, J. (2011). “Robust Principal Component Analysis?” Journal of the Association for Computing Machinery 58:1–37.

Stor, N. J., Slapnicar, I., and Barlow, J. L. (2015). “Accurate Eigenvalue Decomposition of Real Symmetric Arrowhead Matrices and Applications.” Linear Algebra and Its Applications 464:62–89.