Comparative Study of Robust Estimators Based on a Sensitivity Coefficient in Principal Component Analysis |
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Authors: | Malika Cheikh |
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Affiliation: | 1. Department of Mathematics, University Mouloud Mammeri, Tizi-Ouzou, Algeriach_malika@yahoo.fr |
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Abstract: | This work is devoted to robust principal component analysis (PCA). We give a comparison between some multivariate estimators of location and scatter by computing the influence functions of the sensitivity coefficient ρ corresponding to these estimators, and the mean squared error (MSE) of estimators of ρ. The coefficient ρ measures the closeness between the subspaces spanned by the initial eigenvectors and their corresponding version derived from an infinitesimal perturbation of the data distribution. |
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Keywords: | Influence function Mean squared error Principal component analysis Robust estimator Sensitivity coefficient |
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