Distribution of the residual roots in principal components analysis.
Keywords: Covariance matrix, Residual roots
AbstractThe latent of distribution of latent roots of the covariance martix of normal variables, when a hypothetical linear function of the variables is eliminated, is derived in this paper. The relation between original roots and the residual roots- after elimination of, is also derived by an analytical method. An exact test for the goodness of fit of a single nonisotropic hypothetical principal components, using the residual roots, is then obtained.
How to Cite
Kshirsagar, A. (2014). Distribution of the residual roots in principal components analysis. Defence Science Journal, 14(4), 287-295. https://doi.org/10.14429/dsj.14.7162
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