Principal Component Analysis Based on Robust Estimators of the Covariance or Correlation Matrix: Influence Functions and Efficiencies

C. Croux and G. Haesbroeck

Liege - Groupe d'Etude des Mathematiques du Management et de l'Economie from UNIVERSITE DE LIEGE, Faculte d'economie, de gestion et de sciences sociales, Groupe d'Etude des Mathematiques du Management et de l'Economie

Abstract: 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 the authors derive the influence functions and the corresponding asumptotic variances for these robust estimators of eigenvalues and eigenvectors. The behavior of several of these estimators is investigated by a simulation study. Finally, the use of empirical influence functions id illustrated by a real data example.

Keywords: ESTIMATOR; MATHEMATICAL ANALYSIS; ECONOMETRICS (search for similar items in EconPapers)
JEL-codes: C00 C13 C60 (search for similar items in EconPapers)
Pages: 26 pages
Date: 1999
References: Add references at CitEc
Citations: View citations in EconPapers (1)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fth:gemame:9908

Access Statistics for this paper

More papers in Liege - Groupe d'Etude des Mathematiques du Management et de l'Economie from UNIVERSITE DE LIEGE, Faculte d'economie, de gestion et de sciences sociales, Groupe d'Etude des Mathematiques du Management et de l'Economie UNIVERSITE DE LIEGE, Faculte d'economie, de gestion et de sciences sociales, Groupe d'Etude des Mathematiques du Management et de l'Economie. 4000 Liege, BELGIQUE. Contact information at EDIRC.
Bibliographic data for series maintained by Thomas Krichel ().