Fig. 5.

Average estimation error of factors over 500 repetitions, i.e. ||F̂ − F₀||_max and ${\Vert \widehat{\mathbf{F}}-{\mathbf{F}}_0\Vert }_F/\sqrt{T}$ by projected-PCA (solid red) and PC (dashed blue): Design 2. Upper two panels: p grows with fixed T; bottom panels: T grows with fixed p.