Title: Principal components analysis based on multivariate MM estimators with fast and robust bootstrap
Authors: Salibian-Barrera, Matias ×
Van Aelst, Stefan
Willems, Gert #
Issue Date: 2006
Series Title: JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION vol:101 issue:475 pages:1198-1211
Abstract: We consider robust principal components analysis (PCA) based on multivariate MM estimators.We first study the robustness and efficiency
of these estimators, particularly in terms of eigenvalues and eigenvectors. We then focus on inference procedures based on a fast and robust
bootstrap for MM estimators. This method is an alternative to the approach based on the asymptotic distribution of the estimators and
can also be used to assess the stability of the principal components. A formal consistency proof for the bootstrap method is given, and its
finite-sample performance is investigated through simulations. We illustrate the use of the robust PCA and the bootstrap inference on a real
ISSN: 0162-1459
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Non-KU Leuven Association publications
× corresponding author
# (joint) last author

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