A model for robust analysis of multivariate data

MaRDI QIDQ1061426zbMATH OpenFDO

Authors Hans Nyquist

Publication date 1984

Published in Metron (Search for Journal in Brave)

zbMATH Keywords

M-estimatorsmaximum likelihood estimatorsprincipal componentsrobust estimation

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35) Estimation in multivariate analysis (62H12) Factor analysis and principal components; correspondence analysis (62H25)

Review text

The author considers the model \(U=\mu +SV\), where \(\mu\) is an (m\(\times 1)\) vector of constants, S is an (m\(\times m)\) matrix of constants, U is the (m\(\times 1)\) vector of independent observations and the elements of the (m\(\times 1)\) vector V are assumed to be iid rv's of continuous type with zero location and unit scale. In the first part maximum likelihood estimators of \(\mu\) and S are derived in detail, a class of M-estimators of \(\mu\) and S is suggested and the theory is illustrated for the case of normally distributed vectors V. In the second part the author shows how principal components based on the model are to be constructed.

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Cited in

(1)

• The strength of multi-row models

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