Asymptotic Theory for Common Principal Component Analysis
Flury, Bernard N.
Ann. Statist., Tome 14 (1986) no. 2, p. 418-430 / Harvested from Project Euclid
Under the common principal component model $k$ covariance matrices $\mathbf{\Sigma}_1,\cdots,\mathbf{\Sigma}_k$ are simultaneously diagonalizable, i.e., there exists an orthogonal matrix $\mathbf{\beta}$ such that $\mathbf{\beta'\Sigma_i\beta = \Lambda_i}$ is diagonal for $i = 1,\cdots, k$. In this article we give the asymptotic distribution of the maximum likelihood estimates of $\mathbf{\beta}$ and $\mathbf{\Lambda}_i$. Using these results, we derive tests for (a) equality of eigenvectors with a given set of orthonormal vectors, and (b) redundancy of $p - q$ (out of $p$) principal components. The likelihood-ratio test for simultaneous sphericity of $p - q$ principal components in $k$ populations is derived, and some of the results are illustrated by a biometrical example.
Publié le : 1986-06-14
Classification:  Maximum likelihood,  covariance matrices,  eigenvectors,  eigenvalues,  62H25,  62H15,  62E20
@article{1176349930,
     author = {Flury, Bernard N.},
     title = {Asymptotic Theory for Common Principal Component Analysis},
     journal = {Ann. Statist.},
     volume = {14},
     number = {2},
     year = {1986},
     pages = { 418-430},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176349930}
}
Flury, Bernard N. Asymptotic Theory for Common Principal Component Analysis. Ann. Statist., Tome 14 (1986) no. 2, pp.  418-430. http://gdmltest.u-ga.fr/item/1176349930/