A Test For A Specific Principal Component Of A Correlation Matrix

    Authors

    J. R. Schott

    Comments

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    Abbreviated Journal Title

    J. Am. Stat. Assoc.

    Keywords

    LATENT VECTOR; M-ESTIMATE OF SCATTER; SCATTER; Statistics & Probability

    Abstract

    In the application of principal components analysis it is common to replace an observed sample principal component vector by another vector closely resembling the sample vector but which is easier to use or interpret. A useful test of hypothesis in this case is one that specifies the true ith principal component. In this article we obtain an asymptotically chi-squared procedure suitable for testing such a hypothesis when the principal components analysis is performed on a correlation matrix. The procedure easily extends to a principal components analysis based on M estimates of scatter.

    Journal Title

    Journal of the American Statistical Association

    Volume

    86

    Issue/Number

    415

    Publication Date

    1-1-1991

    Document Type

    Article

    Language

    English

    First Page

    747

    Last Page

    751

    WOS Identifier

    WOS:A1991GC68100025

    ISSN

    0162-1459

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