A note on sensitivity of principal component subspaces and the efficient detection of influential observations in high dimensions
Abstract
Description
In this paper we introduce an influence measure based on second order expansion of the RV and GCD measures for the comparison between unperturbed and perturbed eigenvectors of a symmetric matrix estimator. Example estimators are considered to highlight how this measure compliments recent influence analysis. Importantly, we also show how a sample based version of this measure can be used to accurately and efficiently detect influential observations in practice.
Published in at http://dx.doi.org/10.1214/08-EJS201 the Electronic Journal of Statistics (http://www.i-journals.org/ejs/) by the Institute of Mathematical Statistics (http://www.imstat.org)
Published in at http://dx.doi.org/10.1214/08-EJS201 the Electronic Journal of Statistics (http://www.i-journals.org/ejs/) by the Institute of Mathematical Statistics (http://www.imstat.org)