Principal component analysis for α-stable vectors

DOI10.1080/03610918.2020.1764035OpenAlexW3024826377MaRDI QIDQ5042123

Mohammad Mohammadi

Publication date: 18 October 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2020.1764035

zbMATH Keywords

dimension reductionprincipal components\(\alpha\)-stable distributions

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Factor analysis and principal components; correspondence analysis (62H25)

Uses Software

• ROBPCA

Cites Work

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• A measure of dependence for stable distributions
• Estimation of stable spectral measures
• Generalized autoregressive conditional heteroscedasticity
• On the asymptotic normality of the maximum-likelihood estimate when sampling from a stable distribution
• Principal component analysis.
• Stationarity of stable power-GARCH processes.
• Two proposals for robust PCA using semidefinite programming
• On estimating the tail index and the spectral measure of multivariate \(\alpha\)-stable distributions
• Robust principal component analysis?
• Estimation of α-Stable Sub-Gaussian Distributions for Asset Returns

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