ROBUST FACTOR ANALYSIS USING THE MULTIVARIATE t-DISTRIBUTION

被引：11
|
作者：
Zhang, Jianchun [1 ]
Li, Jia [2 ]
Liu, Chuanhai [1 ]
机构：
[1] Purdue Univ, Dept Stat, W Lafayette, IN 47907 USA
[2] Purdue Univ, Dept Math, W Lafayette, IN 47907 USA
来源：
STATISTICA SINICA | 2014年 / 24卷 / 01期
关键词：
Bayesian methods; EM-type algorithms; Gibbs sampling; multivariate t-distribution; robust factor analysis; MAXIMUM-LIKELIHOOD-ESTIMATION; BAYESIAN FACTOR-ANALYSIS; INCOMPLETE DATA; FRACTIONATED EXPERIMENTS; REGRESSION-MODEL; ECME ALGORITHM; CENSORED-DATA; EM ALGORITHM; MISSING DATA;
D O I：
10.5705/ss.2012.342
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Factor analysis is a standard method for multivariate analysis. The sampling model in the most popular factor analysis is Gaussian and has thus often been criticized for its lack of robustness. A simple robust extension of the Gaussian factor analysis model is obtained by replacing the multivariate Gaussian distribution with a multivariate t-distribution. We develop computational methods for both maximum likelihood estimation and Bayesian estimation of the factor analysis model. The proposed methods include the ECME and PX-EM algorithms for maximum likelihood estimation and Gibbs sampling methods for Bayesian inference. Numerical examples show that use of multivariate t-distribution improves the robustness for the parameter estimation in factor analysis.
引用
收藏
页码：291 / 312
页数：22
相关论文
共 50 条
  • [41] ROBUST DENSITY MODELLING USING THE STUDENT'S T-DISTRIBUTION FOR HUMAN ACTION RECOGNITION
    Moghaddam, Zia
    Piccardi, Massimo
    [J]. 2011 18TH IEEE INTERNATIONAL CONFERENCE ON IMAGE PROCESSING (ICIP), 2011,
  • [42] Independent vector analysis with multivariate student's t-distribution source prior for speech separation
    Liang, Y.
    Chen, G.
    Naqvi, S. M. R.
    Chambers, J. A.
    [J]. ELECTRONICS LETTERS, 2013, 49 (16) : 1035 - 1036
  • [43] One-sided tests in linear models with multivariate t-distribution
    Cysneiros, FJA
    Paula, GA
    [J]. COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, 2004, 33 (03) : 747 - 771
  • [44] NUMERICAL EVALUATION OF AN EQUICORRELATED MULTIVARIATE NON-CENTRAL T-DISTRIBUTION
    NELSON, PR
    [J]. COMMUNICATIONS IN STATISTICS PART B-SIMULATION AND COMPUTATION, 1981, 10 (01): : 41 - 50
  • [45] Distributions generated by perturbation of symmetry with emphasis on a multivariate skew t-distribution
    Azzalini, A
    Capitanio, A
    [J]. JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY, 2003, 65 : 367 - 389
  • [46] Goodness-of-Fit Test of Multivariate t-Distribution with Monte Carlo Simulation Using R
    Santoso, Ibnu
    Siagian, Tiodora Hadumaon
    Astuti, Erni Tri
    Ubaidillah, Azka
    [J]. 8TH ANNUAL BASIC SCIENCE INTERNATIONAL CONFERENCE: COVERAGE OF BASIC SCIENCES TOWARD THE WORLD'S SUSTAINABILITY CHALLANGES, 2018, 2021
  • [47] Robust speaker identification based on t-distribution mixture model
    Lee, Y
    Hahn, H
    Han, Y
    Lee, J
    [J]. AI 2005: ADVANCES IN ARTIFICIAL INTELLIGENCE, 2005, 3809 : 896 - 899
  • [48] ON A MULTIVARIATE ANALOGUE OF STUDENTS T-DISTRIBUTION, WITH SOME TABLES FOR THE BIVARIATE CASE
    DUNNETT, CW
    SOBEL, M
    [J]. ANNALS OF MATHEMATICAL STATISTICS, 1953, 24 (03): : 492 - 492
  • [49] Analysis of local influence in geostatistics using Student's t-distribution
    Assumpcao, R. A. B.
    Uribe-Opazo, M. A.
    Galea, M.
    [J]. JOURNAL OF APPLIED STATISTICS, 2014, 41 (11) : 2323 - 2341
  • [50] STUDENTS T-DISTRIBUTION
    LEVINE, DA
    [J]. COMMUNICATIONS OF THE ACM, 1969, 12 (01) : 37 - +
12345