[R] Confidence intervals for PCA scores/eigenvalues

From: Markus Loecher <markus_at_insightfromdata.com>
Date: Fri, 01 Feb 2008 14:14:31 -0500

Very sorry about my incomplete email from 2 days ago, here is the full version.

Dear all,
I have read various descriptions of employing resampling techniques, such as the bootstrap, to estimate the uncertainties of the eigenvalues/vectors computed by PCA.
Let's say I define my test statistic T to be the percent of variance captured by the first 2 principal components. I am struggling with a conceptual issue here. Since PCA maximizes the variance concentration, wouldn't the bootstrapped distribution of T be biased upward due to the effectively reduced sample size ? If that is true, how could one obtain an unbiased confidence interval for T ?

Any insight would be helpful !



R-help_at_r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. Received on Fri 01 Feb 2008 - 21:11:52 GMT

Archive maintained by Robert King, hosted by the discipline of statistics at the University of Newcastle, Australia.
Archive generated by hypermail 2.2.0, at Sat 02 Feb 2008 - 00:30:10 GMT.

Mailing list information is available at https://stat.ethz.ch/mailman/listinfo/r-help. Please read the posting guide before posting to the list.

list of date sections of archive