Stepwise estimation of common principal components

DOI10.1016/j.csda.2010.03.010zbMath1284.62360MaRDI QIDQ2445800

Nickolay T. Trendafilov

Publication date: 14 April 2014

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2010.03.010

zbMATH Keywords

dimensionality reduction; simultaneous diagonalization; power iterations for \(k\) symmetric positive definite matrices

Mathematics Subject Classification ID

62H25: Factor analysis and principal components; correspondence analysis

Related Items

A comparison of stepwise common singular spectrum analysis and horizontal multi-channel singular spectrum analysis, Unnamed Item, The fixed effects PCA model in a common principal component environment, Raw data maximum likelihood estimation for common principal component models: a state space approach, Unconstrained representation of orthogonal matrices with application to common principal components, Improved scalability and risk factor proxying with a two-step principal component analysis for multi-curve modelling, 3rd special issue on matrix computations and statistics

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Projected gradient approach to the numerical solution of the SCoTLASS
• RelaxMCD: smooth optimisation for the minimum covariance determinant estimator
• Principal component analysis.
• General projection-pursuit estimators for the common principal components model: influence functions and Monte Carlo study
• Common principal component subspaces in two groups
• Between-Groups Comparison of Principal Components
• Partial common principal component subspaces