Modified estimator of the contribution rates of population eigenvalues

Details Modified estimator of the contribution rates of population eigenvalues Modified estimator of the contribution rates of population eigenvalues

2011-04-06

arxiv.org/abs/1104.1019v3

Mathematics

Statistics Theory

25 pages

Scientific paper

Modified estimators for the contribution rates of population eigenvalues are given under an elliptically contoured distribution. These estimators decrease the bias of the classical estimator, i.e. the sample contribution rates. The improvement of the modified estimators over the classical estimator are proved theoretically in view of their risks. We also checked numerically that the drawback of the classical estimator, namely the underestimation of the dimension in principal component analysis or factor analysis, are corrected in the modification.

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