An extension of some optimal properties of principal components

  • Raul Hudlet
  • Richard A. Johnson
Article

Summary

Typically, optimal properties for principal components concern the simultaneous minimization of eigenvalues of certain covariance matrices which measure the goodness of an approximation. Many population criteria like total variance and generalized variance, which are increasing functions of the eigenvalues, are then minimized by the best approximator.

In other situations, the criterion may not be a monotone function of the eigenvalues. In Theorem 1, we derive a general optimal class based on the non-negative definite ordering of covariance matrices.

AMS (MOS) subject classification

62H25 

Key words

Principal components statistical approximations 

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References

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Copyright information

© Kluwer Academic Publishers 1982

Authors and Affiliations

  • Raul Hudlet
    • 1
  • Richard A. Johnson
    • 1
  1. 1.University of Wisconsin-MadisonMadisonUSA

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