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Minimax estimations in a method of principal components

Author

Listed:
  • Kiselev, Nikolai

    (Korolev Institute of Management, Economics and Sociology, Moscow region, Russia)

Abstract

The Minimax criterion is considered as an alternative to the least-squares method in determination of principal components Estimated coefficients are formulated as linear programming problem The offered approach was experimentally checked using well known test data sets On these data sets the minimax criterion has shown the equal or better results in comparison with classical least-squares method

Suggested Citation

  • Kiselev, Nikolai, 2010. "Minimax estimations in a method of principal components," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 19(3), pages 127-139.
    • Handle: RePEc:ris:apltrx:0053
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    Citations

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    Cited by:

    1. Киселев Н.И., 2013. "Минимальный Объемлющий Параллелепипед В Параметрическом Оценивании Многомерного Равномерного Распределения," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 49(1), pages 119-128, январь.

    More about this item

    Keywords

    Principal components; minimax criteria; linear programming;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis

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