Principal component analysis in an asymmetric norm (Q2418501)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Principal component analysis in an asymmetric norm |
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Principal component analysis in an asymmetric norm (English)
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27 May 2019
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The generalization of the PCA is proposed for quantiles and expectiles. Under the elliptically symmetric distributions it turns to the convential PCA. The proposed approach is suitable to study extremes of the multivariate data. Experiments with weather datasets illustrate the efficiency of the proposed method.
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dimension reduction
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quantile
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asymmetric norm
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expectile
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risk attitude
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growth data
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