Principal component analysis based on robust estimators of the covariance or correlation matrix: influence functions and efficiencies
نویسندگان
چکیده
منابع مشابه
Principal Component Analysis Based on Robust Estimators of the Covariance or Correlation Matrix: Innuence Functions and Eeciencies
A robust principal component analysis can be easily performed by computing the eigenvalues and eigenvectors of a robust estimator of the covariance or correlation matrix. In this paper we derive the innuence functions and the corresponding asymptotic variances for these robust estimators of eigenvalues and eigenvectors. The behavior of several of these estimators is investigated by a simulation...
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ژورنال
عنوان ژورنال: Biometrika
سال: 2000
ISSN: 0006-3444,1464-3510
DOI: 10.1093/biomet/87.3.603