Advanced Search
MyIDEAS: Login

Robust factor analysis

Contents:

Author Info

  • Pison, Greet
  • Rousseeuw, Peter J.
  • Filzmoser, Peter
  • Croux, Christophe

Abstract

Our aim is to construct a factor analysis method that can resist the effect of outliers. For this we start with a highly robust initial covariance estimator, after which the factors can be obtained from maximum likelihood or from principal factor analysis (PFA). We find that PFA based on the minimum covariance determinant scatter matrix works well. We also derive the influence function of the PFA method based on either the classical scatter matrix or a robust matrix. These results are applied to the construction of a new type of empirical influence function (EIF), which is very effective for detecting influential data. To facilitate the interpretation, we compute a cutoff value for this EIF. Our findings are illustrated with several real data examples.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.sciencedirect.com/science/article/B6WK9-47TNRK0-5/2/3953a8db36443244781abd765c377f16
Download Restriction: Full text for ScienceDirect subscribers only

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Elsevier in its journal Journal of Multivariate Analysis.

Volume (Year): 84 (2003)
Issue (Month): 1 (January)
Pages: 145-172

as in new window
Handle: RePEc:eee:jmvana:v:84:y:2003:i:1:p:145-172

Contact details of provider:
Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description

Order Information:
Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
Web: https://shop.elsevier.com/order?id=622892&ref=622892_01_ooc_1&version=01

Related research

Keywords: Factor analysis Influence function Multivariate analysis Outlier detection Robust estimation;

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Croux, Christophe & Haesbroeck, Gentiane, 1999. "Influence Function and Efficiency of the Minimum Covariance Determinant Scatter Matrix Estimator," Journal of Multivariate Analysis, Elsevier, vol. 71(2), pages 161-190, November.
  2. Yutaka Tanaka & Yoshimasa Odaka, 1989. "Influential observations in principal factor analysis," Psychometrika, Springer, vol. 54(3), pages 475-485, September.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Verdonck, T. & Debruyne, M., 2011. "The influence of individual claims on the chain-ladder estimates: Analysis and diagnostic tool," Insurance: Mathematics and Economics, Elsevier, vol. 48(1), pages 85-98, January.
  2. Hubert, Mia & Dierckx, Goedele & Vanpaemel, Dina, 2013. "Detecting influential data points for the Hill estimator in Pareto-type distributions," Computational Statistics & Data Analysis, Elsevier, vol. 65(C), pages 13-28.
  3. Barry Eichengreen & Ashoka Mody & Milan Nedeljkovic & Lucio Sarno, 2009. "How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads," NBER Working Papers 14904, National Bureau of Economic Research, Inc.
  4. Yang, Mingan & Dunson, David B. & Baird, Donna, 2010. "Semiparametric Bayes hierarchical models with mean and variance constraints," Computational Statistics & Data Analysis, Elsevier, vol. 54(9), pages 2172-2186, September.
  5. Metaxas, Theodore & Kallioras, Dimitris, 2013. "Small and medium-sized firms' competitiveness and territorial characteristics/assets: The cases of Bari, Varna and Thessaloniki," MPRA Paper 52446, University Library of Munich, Germany.
  6. Theodore Metaxas, 2012. "Urban Advantages and Disadvantages in Southeastern Europe: An Appreciation of Industrial Firms by Using Exploratory Factor Analysis," European Research Studies Journal, European Research Studies Journal, vol. 0(2), pages 81-104.
  7. Christophe Croux & Peter Exterkate, 2011. "Sparse and Robust Factor Modelling," Tinbergen Institute Discussion Papers 11-122/4, Tinbergen Institute.
  8. Dupuis Lozeron, E. & Victoria-Feser, M.P., 2010. "Robust estimation of constrained covariance matrices for confirmatory factor analysis," Computational Statistics & Data Analysis, Elsevier, vol. 54(12), pages 3020-3032, December.
  9. Ella Roelant & Stefan Aelst & Gert Willems, 2009. "The minimum weighted covariance determinant estimator," Metrika, Springer, vol. 70(2), pages 177-204, September.
  10. METAXAS, Theodore, 2011. "Territorial Assets And Firms’ Competitiveness In Southern Europe: Industrial Vs Commercial Firms Using Exploratory Factor Analysis," Regional and Sectoral Economic Studies, Euro-American Association of Economic Development, vol. 11(1).
  11. Aleš Toman, 2014. "Robust confirmatory factor analysis based on the forward search algorithm," Statistical Papers, Springer, vol. 55(1), pages 233-252, February.
  12. Christophe Croux & Peter Exterkate, 2011. "Sparse and Robust Factor Modelling," Tinbergen Institute Discussion Papers 11-122/4, Tinbergen Institute.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:84:y:2003:i:1:p:145-172. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.