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Some robust estimates of principal components

✍ Scribed by John I. Marden

Publisher
Elsevier Science
Year
1999
Tongue
English
Weight
161 KB
Volume
43
Category
Article
ISSN
0167-7152

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✦ Synopsis

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 rank procedures are quite robust unless there is severe contamination, in which case the minimum-volume-ellipsoid estimate is preferable.

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