CONDITIONING AND CONCENTRATION OF PRINCIPAL COMPONENTS |
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| Authors: | DR Jensen |
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| Institution: | Dept of Statistics, Virginia Polytechnic Institute and State University, Blacksburg, VA 24061, USA. email: |
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| Abstract: | This paper uses various gauges to construct principal variables that satisfy criteria of maximal scatter. The solutions coincide with Hotelling's (1933) principal components in structured ensembles and mixtures, including heavy-tailed distributions not having moments. Thus, normal-theory tests are exact in level and power under nonstandard models allowing for correlated vector observations and for certain mixtures having neither moments nor unimodal marginals. |
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| Keywords: | Principal variables conditioning stochastic ordering translation-scale mixtures exact tests |
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