Effect of noise in Principal Component Analysis

Katerina Tsakiri, Igor Zurbenko

Research output: Contribution to journalArticle

Abstract

This paper demonstrates the effect of independent noise in principal components of k normally distributed random variables defined by a population covariance matrix. We prove that the principal components determined by a joint distribution of the original sample affected by noise can be essentially different in comparison with those determined from the original sample. However when the differences between the eigenvalues of the population covariance matrix are sufficiently large compared to the level of the noise, the effect of noise in principal components proved to be negligible. We support the theoretical results by using simulation study and examples. We also compare the results about the eigenvalues and eigenvectors in the two dimensional case with other models examined before. This theory can be applied in any field for the decomposition of the time series in multivariate analysis.
Original languageEnglish
Pages (from-to)40-48
Number of pages9
JournalJournal of Statistics and Mathematics
Volume2
Issue number2
Publication statusPublished - 15 Dec 2011

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