Title: Principal component analysis based on robust estimators of the covariance or correlation matrix: Influence functions and efficiencies
Authors: Croux, Christophe ×
Haesbroeck, G #
Issue Date: Sep-2000
Publisher: Biometrika trust
Series Title: Biometrika vol:87 issue:3 pages:603-618
Abstract: A robust principal component analysis can be easily performed by computing the eigenvalues and eigenvectors of a robust estimator of the covariance or correlation matrix. In this paper we derive the influence functions and the corresponding asymptotic variances for these robust estimators of eigenvalues and eigenvectors. The behaviour of several of these estimators is investigated by a simulation study. It turns out that the theoretical results and simulations favour the use of S-estimators, since they combine a high efficiency with appealing robustness properties.
ISSN: 0006-3444
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Research Center for Operations Research and Business Statistics (ORSTAT), Leuven
× corresponding author
# (joint) last author

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