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Alternative Penalty Functions for Penalized Likelihood Principal Components

✍ Scribed by Park, Trevor

Book ID
126760592
Publisher
Taylor and Francis Group
Year
2007
Tongue
English
Weight
523 KB
Volume
34
Category
Article
ISSN
0266-4763

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A particular class of tests for the principal components of a scatter matrix \(\Sigma\) is proposed. In the simplest case one wants to test whether a given vector is an eigenvector of \(\Sigma\) corresponding to its largest eigenvalue. The test statistics are likelihood ratio statistics for the clas