Principal Component Analysis of Large Dispersion Matrices

C. R. Narayanaswamy and D. Raghavarao

Journal of the Royal Statistical Society Series C, 1991, vol. 40, issue 2, 309-316

Abstract: Sometimes it may be necessary to find the first few dominant principal components of a dispersion (covariance) matrix of large order. For many computers such problems could be too big to handle. This paper provides an effective approach to such situations through a series of splitting and merging operations on subsets of variables. An illustration is provided with applications of the suggested technique to stock price data.

Date: 1991
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