Some robust estimates of principal components

John I. Marden

Statistics & Probability Letters, 1999, vol. 43, issue 4, 349-359

Abstract: 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.

Keywords: Principal; components; Multivariate; analysis; Multivariate; ranks; Multivariate; signs; Robust; estimation; Minimum-volume-ellipsoid; estimator (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (20)

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