Principal component analysis based on robust estimators of the covariance or correlation matrix: Influence functions and efficiencies. (English) Zbl 0956.62047
Summary: A robust principal component analysis can be easily performed by computing the eigenvalues and eigenvectors of a robust estimator of the covariance or correlation matrix. We derive the influence functions and the corresponding asymptotic variances for these robust estimators of eigenvalues and eigenvectors. The behaviour of several of these estimators is investigated by a simulation study. It turns out that the theoretical results and simulations favour the use of \(S\)-estimators, since they combine a high efficiency with appealing robustness properties.
MSC:
62H25 | Factor analysis and principal components; correspondence analysis |
62F35 | Robustness and adaptive procedures (parametric inference) |