Minimax estimations in a method of principal components

Nikolai Kiselev ()
Additional contact information
Nikolai Kiselev: Korolev Institute of Management, Economics and Sociology, Moscow region, Russia

Applied Econometrics, 2010, vol. 19, issue 3, 127-139

Abstract: 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

Keywords: Principal components; minimax criteria; linear programming (search for similar items in EconPapers)
JEL-codes: C13 C38 (search for similar items in EconPapers)
Date: 2010
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://pe.cemi.rssi.ru/pe_2010_3_127-139.pdf Full text (application/pdf)

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:ris:apltrx:0053

Access Statistics for this article

Applied Econometrics is currently edited by Anatoly Peresetsky

More articles in Applied Econometrics from Russian Presidential Academy of National Economy and Public Administration (RANEPA)
Bibliographic data for series maintained by Anatoly Peresetsky ().