Principal points of a multivariate mixture distribution

Shun Matsuura and Hiroshi Kurata

Journal of Multivariate Analysis, 2011, vol. 102, issue 2, 213-224

Abstract: A set of n-principal points of a distribution is defined as a set of n points that optimally represent the distribution in terms of mean squared distance. It provides an optimal n-point-approximation of the distribution. However, it is in general difficult to find a set of principal points of a multivariate distribution. Tarpey et al. [T. Tarpey, L. Li, B. Flury, Principal points and self-consistent points of elliptical distributions, Ann. Statist. 23 (1995) 103-112] established a theorem which states that any set of n-principal points of an elliptically symmetric distribution is in the linear subspace spanned by some principal eigenvectors of the covariance matrix. This theorem, called a "principal subspace theorem", is a strong tool for the calculation of principal points. In practice, we often come across distributions consisting of several subgroups. Hence it is of interest to know whether the principal subspace theorem remains valid even under such complex distributions. In this paper, we define a multivariate location mixture model. A theorem is established that clarifies a linear subspace in which n-principal points exist.

Keywords: Location; mixture; Mean; squared; distance; Principal; points; Self-consistency; Spherically; symmetric; distribution (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (7)

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