INVESTIGADORES
BOENTE BOENTE Graciela Lina
artículos
Título:
A characterization of elliptical distributions and some optimality properties of principal components for functional data
Autor/es:
BOENTE, GRACIELA; SALIBIAN-BARRERA, MATÍAS; TYLER, DAVID
Revista:
JOURNAL OF MULTIVARIATE ANALYSIS
Editorial:
ELSEVIER INC
Referencias:
Lugar: Amsterdam ; Año: 2014 vol. 131 p. 254 - 264
ISSN:
0047-259X
Resumen:
As in the multivariate setting, the class of elliptical distributions on separable Hilbert spaces serves as an important vehicle and reference point for the development and evaluation of robust methods in functional data analysis. In this paper, we present a simple characterization of elliptical distributions on separable Hilbert spaces, namely we show that the class of elliptical distributions in the infinite-dimensional case is equivalent to the class of scale mixtures of Gaussian distributions on the space. Using this characterization, we establish a stochastic optimality property for the principal component subspaces associated with an elliptically distributed random element, which holds even when second moments do not exist. In addition, when second moments exist, we establish an optimality property regarding unitarily invariant norms of the residuals covariance operator.