Optimally weighted PCA for high-dimensional heteroscedastic data. Hong, D., Balzano, L., & Fessler, J. A. 2017.
bibtex   
@CONFERENCE{hong:17:owp-egs,
 author = {D. Hong and L. Balzano and J. A. Fessler},
 title = {Optimally weighted {PCA} for high-dimensional heteroscedastic data},
 booktitle = {{UM Grad. Symp.}},
 year = 2017
}

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