Modified estimators of the contribution rates of population eigenvalues

DOI10.1016/J.JMVA.2012.10.014MaRDI QIDQ1941447zbMATH OpenOpenAlexFDO

Authors Yo Sheena

Publication date 12 March 2013

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1104.1019, https://soar-ir.repo.nii.ac.jp/?action=repository_uri&item_id=2617

zbMATH Keywords

elliptically contoured distributionfactor analysisprincipal components analysis

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Factor analysis and principal components; correspondence analysis (62H25)

Abstract: Modified estimators for the contribution rates of population eigenvalues are given under an elliptically contoured distribution. These estimators decrease the bias of the classical estimator, i.e. the sample contribution rates. The improvement of the modified estimators over the classical estimator are proved theoretically in view of their risks. We also checked numerically that the drawback of the classical estimator, namely the underestimation of the dimension in principal component analysis or factor analysis, are corrected in the modification.

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