Cross-validation of covariance structures using the frobenius matrix distance as a discrepancy function

DOI10.1080/00949659708811831MaRDI QIDQ4345964zbMATH OpenOpenAlexFDO

Authors Rolando Biscay, L. M. Rodriguez, E. Díaz-Francés

Publication date 5 February 1998

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949659708811831

zbMATH Keywords

covariance structurecross-validation criterionFrobenius matrix distancenumber of factorsnumber of principal components

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Multivariate analysis (62H99) Monte Carlo methods (65C05)

Recommendations

• Covariance structure regularization via Frobenius-norm discrepancy
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• Random matrix-improved estimation of covariance matrix distances
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• Fréchet distance as a tool for diagnosing multivariate data

Cites work

• A new look at the statistical model identification
• Cross-validation criteria for covariance structures
• Cross-Validatory Estimation of the Number of Components in Factor and Principal Components Models
• Estimating the dimension of a model
• Factor analysis and AIC
• Generalized Cross-Validation as a Method for Choosing a Good Ridge Parameter
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• scientific article; zbMATH DE number 708500 (Why is no real title available?)
• scientific article; zbMATH DE number 837320 (Why is no real title available?)
• scientific article; zbMATH DE number 3892457 (Why is no real title available?)
• Principal component analysis.

Cited in

(3)

• Fréchet distance as a tool for diagnosing multivariate data
• GLS discrepancy based information criteria for selecting covariance structure models
• Discrepancy between structured matrices in the power analysis of a separability test

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