?
Comparative Analysis of the Quality of Linear Regression on Principal Components Constructed by Robust and Classical Methods
P. 1–5.
Goryainov V. B., Goryainova E. R.
Goryainov V. B., E. R. Goryainova, , in: 16th International Conference Management of large-scale system development (MLSD).: IEEE, 2023. P. 1–5.
The paper considers PCA modifications based on
robust estimates of correlation matrices of observed multivariate
correlated indicators. Based on simulated and real socio-economic
data, the robust versions of the PCA were compared with
the traditional version. A higher quality of robust PCA is
demonstrated when observations contain outliers or have heavytailed
distributions. ...
Added: February 12, 2024
Goryainov V. B., Goryainova E. R., Вестник Московского государственного технического университета им. Н.Э. Баумана. Серия Естественные науки 2023 № 2(107) С. 17–34
The paper considers the problem of reducing multidimensional
correlated indicators. One of the approaches
to solving this problem is based on the method of principal
components, which makes it possible to compactly
describe the vector with correlated coordinates (components)
using the principal components vector with
uncorrelated coordinates of much smaller dimension,
while retaining most of the information about correlation
structure of the original ...
Added: August 26, 2023
Goryainov V. B., Goryainova E. R., Automation and Remote Control 2019 Vol. 80 No. 4 P. 666–675
Using computer simulation and a study of the asymptotic distribution, we consider the relative efficiency of M-estimates for the coefficients of the threshold autoregressive equation with respect to the least squares and least absolute deviation estimates. We assume that the updating sequence of the autoregressive equation can have Student’s, logistic, double exponential, normal, or contaminated ...
Added: September 30, 2019
Goryainova E. R., Goryainov V. B., Вестник Московского государственного технического университета им. Н.Э. Баумана. Серия Естественные науки 2016 № 6 С. 4–15
The article deals with constructing the sign test for the
hypothesis about the order of equation in moving average.
We found the asymptotic distribution of the test statistics
which appeared to be the central X-2-distribution under the
null hypothesis and the noncentral X-2-distribution under
the alternative one. Knowing the asymptotic distribution
makes it possible to calculate the asymptotic relative
efficiency of the ...
Added: February 6, 2017
Goryainov A. V., Goryainova E. R., Automation and Remote Control 2016 Vol. 77 No. 9 P. 1579–1588
For the model of autoregression with a random coefficient, the estimate by the least absolute deviations (LAD) method was proved to be consistent and asymptotically normal. For the asymptotic relative efficiency of the estimate by the LAD method as compared to the least squares method, an analytical expression was obtained. For the case where the ...
Added: November 13, 2016