A Bootstrap Approach to Eigenvalue Correction


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Hendrikse, Anne and Spreeuwers, Luuk and Veldhuis, Raymond (2009) A Bootstrap Approach to Eigenvalue Correction. In: Ninth IEEE International Conference on Data Mining, ICDM '09, 6-9 Dec. 2009, Miami Beach, FL, USA (pp. pp. 818-823).

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Abstract:Eigenvalue analysis is an important aspect in many data modeling methods. Unfortunately, the eigenvalues of the sample covariance matrix (sample eigenvalues) are biased estimates of the eigenvalues of the covariance matrix of the data generating process (population eigenvalues). We present a new method based on bootstrapping to reduce the bias in the sample eigenvalues: the eigenvalue estimates are updated in several iterations, where in each iteration synthetic data is generated to determine how to update the population eigenvalue estimates. Comparison of the bootstrap eigenvalue correction with a state of the art correction method by Karoui shows that depending on the type of population eigenvalue distribution, sometimes the Karoui method performs better and sometimes our bootstrap method.
Item Type:Conference or Workshop Item
Copyright:© 2009 IEEE
Faculty:
Electrical Engineering, Mathematics and Computer Science (EEMCS)
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Link to this item:http://purl.utwente.nl/publications/69834
Official URL:http://dx.doi.org/10.1109/ICDM.2009.111
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