Robust simultaneous confidence interval estimation of principal component loadings |
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Authors: | Martin Augustine B Borlongan Joseph Ryan G Lansangan |
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Institution: | School of Statistics, University of the Philippines Diliman, Quezon City, Philippines-School of Statistics is our department |
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Abstract: | We propose a method that integrates bootstrap into the forward search algorithm in the construction of robust confidence intervals for elements of the eigenvectors of the correlation matrix in the presence of outliers. Coverage probability of the bootstrap simultaneous confidence intervals was compared to the coverage probabilities of regular asymptotic confidence region and asymptotic confidence region based on the minimum covariance determinant (MCD) approach through a simulation study. The method produced more stable coverage probabilities for datasets with or without outliers and across several sample sizes compared to approaches based on asymptotic confidence regions. |
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Keywords: | Principal component Analysis Bootstrap Forward search Algorithm Outliers |
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