Minimax estimations in a method of principal components

The Minimax criterion is considered as an alternative to the least-squares method in determination of principal components Estimated coefficients are formulated as linear programming problem The offered approach was experimentally checked using well known test data sets On these data sets the minimax criterion has shown the equal or better results in comparison with classical least-squares method

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Year of publication:	2010
Authors:	Kiselev, Nikolai
Published in:	Applied Econometrics. - Publishing House "SINERGIA PRESS". - Vol. 19.2010, 3, p. 127-139
Publisher:	Publishing House "SINERGIA PRESS"
Subject:	Principal components \| minimax criteria \| linear programming

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Extent:	application/pdf
Type of publication:	Article
Language:	Russian
Classification:	C13 - Estimation ; c38
Source:	RePEc - Research Papers in Economics

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