4 papers · 1 filter
Asymptotic testing of covariance separability for matrix elliptical data
Joni Virta, Takeru Matsuda
We propose a new asymptotic test for the separability of a covariance matrix. The null distribution is valid in wide matrix elliptical model that includes, in particular, both matr…
New M-estimator of the leading principal component
Joni Virta, Una Radojicic, Marko Voutilainen
We study the minimization of the non-convex and non-differentiable objective function in . In particula…
Unsupervised linear discrimination using skewness
Una Radojicic, Klaus Nordhausen, Joni Virta
It is well-known that, in Gaussian two-group separation, the optimally discriminating projection direction can be estimated without any knowledge on the group labels. In this work,…
Dimension estimation in PCA model using high-dimensional data augmentation
Una Radojicic, Joni Virta
We propose a modified, high-dimensional version of a recent dimension estimation procedure that determines the dimension via the introduction of augmented noise variables into the…