Modified estimators of the contribution rates of population eigenvalues

Yo Sheena

Journal of Multivariate Analysis, 2013, vol. 115, issue C, 301-316

Abstract: Modified estimators for the contribution rates of population eigenvalues are given under an elliptically contoured distribution. These estimators decrease the bias of the classical estimator, i.e. the sample contribution rates. The improvement of the modified estimators over the classical estimator is proved theoretically in view of their risks. We also checked numerically that the drawback of the classical estimator, namely the underestimation of the dimension in principal component analysis or factor analysis, are corrected in the modification.

Keywords: Contribution rates; Elliptically contoured distribution; Principal component analysis; Factor analysis (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.jmva.2012.10.014

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