Some robust estimates of principal components

Robust estimates of principal components are developed using appropriate definitions of multivariate signs and ranks. Simulations and a data example are used to compare these methods to the regular method and one based on the minimum-volume-ellipsoid estimate of the covariance matrix. The sign and rank procedures are quite robust unless there is severe contamination, in which case the minimum-volume-ellipsoid estimate is preferable.

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Year of publication:	1999
Authors:	Marden, John I.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 43.1999, 4, p. 349-359
Publisher:	Elsevier
Keywords:	Principal components Multivariate analysis Multivariate ranks Multivariate signs Robust estimation Minimum-volume-ellipsoid estimator

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005074764