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Estimators for the Common Principal Components Model Based on Reweighting: Influence Functions and Monte Carlo Study

Boente, Graciela; Pires, Ana M.; Rodrigues, Isabel M.

Metrika, 67(2) (2008), 189-218
http://dx.doi.org/10.1007/s00184-007-0129-4

The common principal components model for several groups of multivariate observations is a useful parsimonious model for the scatter structure which assumes equal principal axes but different variances along those axes for each group. Due to the lack of resistance of the classical maximum likelihood estimators for the parameters of this model, several robust estimators have been proposed in the literature: plug-in estimators and projection-pursuit (PP) type estimators. In this paper, we show that it is possible to improve the low efficiency of the projection-pursuit estimators by applying a reweighting step. More precisely, we consider plug-in estimators obtained by plugging a reweighted estimator of the scatter matrices into the maximum likelihood equations defining the principal axes. The weights considered penalize observations with large values of the influence measures defined by Boente et al. (2002). The new estimators are studied in terms of theoretical properties (influence functions and asymptotic variances) and are compared with other existing estimators in a simulation study.