Principal components estimation and identification of static factors
β Scribed by Bai, Jushan; Ng, Serena
- Book ID
- 120403695
- Publisher
- Elsevier Science
- Year
- 2013
- Tongue
- English
- Weight
- 486 KB
- Volume
- 176
- Category
- Article
- ISSN
- 0304-4076
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π SIMILAR VOLUMES
The principal components of a vector of random variables are related to the common factors of a factor analysis model for this vector. Conditions are presented under which components and factors as well as factor proxies come close to each other. A similar analysis is carried out for the matrices of
Robust estimates of principal components are developed using appropriate deΓΏnitions of multivariate signs and ranks. Simulations and a data example are used to compare these methods to the regular method and one based on the minimum-volume-ellipsoid estimate of the covariance matrix. The sign and ra