Improved variance estimation along sample eigenvectors

Research output: Chapter in Book/Report/Conference proceedingConference contributionAcademic

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Abstract

Second order statistics estimates in the form of sample eigenvalues and sample eigenvectors give a sub optimal description of the population density. So far only attempts have been made to reduce the bias in the sample eigenvalues. However, because the sample eigenvectors differ from the population eigenvectors as well, the population eigenvalues are biased estimates of the variances along the sample eigenvectors. Therefore correction of the sample eigenvalues towards the population eigenvalues is not sufficient. The experiments in this paper show that replacing the sample eigenvalues with the variances along the sample eigenvectors often results in better estimates of the population density than replacing the sample eigenvalues with the population eigenvalues.
Original languageUndefined
Title of host publicationProceedings of the 30th Symposium on Information Theory in the Benelux
Place of PublicationEindhoven
PublisherWerkgemeenschap voor Informatie- en Communicatietheorie (WIC)
Pages25-32
Number of pages8
ISBN (Print)978-90-386-1852-4
Publication statusPublished - May 2009
Event30th WIC Symposium on Information Theory in the Benelux 2009 - Eindhoven, Netherlands
Duration: 28 May 200929 May 2009
Conference number: 30

Publication series

Name
PublisherWerkgemeenschap voor Informatie- en Communicatietheorie

Conference

Conference30th WIC Symposium on Information Theory in the Benelux 2009
CountryNetherlands
CityEindhoven
Period28/05/0929/05/09

Keywords

  • IR-70158
  • METIS-265748
  • Density estimation
  • EWI-15685
  • eigenvalue estimation
  • SCS-Safety
  • variance correction

Cite this

Hendrikse, A. J., Veldhuis, R. N. J., & Spreeuwers, L. J. (2009). Improved variance estimation along sample eigenvectors. In Proceedings of the 30th Symposium on Information Theory in the Benelux (pp. 25-32). Eindhoven: Werkgemeenschap voor Informatie- en Communicatietheorie (WIC).
Hendrikse, A.J. ; Veldhuis, Raymond N.J. ; Spreeuwers, Lieuwe Jan. / Improved variance estimation along sample eigenvectors. Proceedings of the 30th Symposium on Information Theory in the Benelux. Eindhoven : Werkgemeenschap voor Informatie- en Communicatietheorie (WIC), 2009. pp. 25-32
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title = "Improved variance estimation along sample eigenvectors",
abstract = "Second order statistics estimates in the form of sample eigenvalues and sample eigenvectors give a sub optimal description of the population density. So far only attempts have been made to reduce the bias in the sample eigenvalues. However, because the sample eigenvectors differ from the population eigenvectors as well, the population eigenvalues are biased estimates of the variances along the sample eigenvectors. Therefore correction of the sample eigenvalues towards the population eigenvalues is not sufficient. The experiments in this paper show that replacing the sample eigenvalues with the variances along the sample eigenvectors often results in better estimates of the population density than replacing the sample eigenvalues with the population eigenvalues.",
keywords = "IR-70158, METIS-265748, Density estimation, EWI-15685, eigenvalue estimation, SCS-Safety, variance correction",
author = "A.J. Hendrikse and Veldhuis, {Raymond N.J.} and Spreeuwers, {Lieuwe Jan}",
year = "2009",
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isbn = "978-90-386-1852-4",
publisher = "Werkgemeenschap voor Informatie- en Communicatietheorie (WIC)",
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booktitle = "Proceedings of the 30th Symposium on Information Theory in the Benelux",
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}

Hendrikse, AJ, Veldhuis, RNJ & Spreeuwers, LJ 2009, Improved variance estimation along sample eigenvectors. in Proceedings of the 30th Symposium on Information Theory in the Benelux. Werkgemeenschap voor Informatie- en Communicatietheorie (WIC), Eindhoven, pp. 25-32, 30th WIC Symposium on Information Theory in the Benelux 2009, Eindhoven, Netherlands, 28/05/09.

Improved variance estimation along sample eigenvectors. / Hendrikse, A.J.; Veldhuis, Raymond N.J.; Spreeuwers, Lieuwe Jan.

Proceedings of the 30th Symposium on Information Theory in the Benelux. Eindhoven : Werkgemeenschap voor Informatie- en Communicatietheorie (WIC), 2009. p. 25-32.

Research output: Chapter in Book/Report/Conference proceedingConference contributionAcademic

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AB - Second order statistics estimates in the form of sample eigenvalues and sample eigenvectors give a sub optimal description of the population density. So far only attempts have been made to reduce the bias in the sample eigenvalues. However, because the sample eigenvectors differ from the population eigenvectors as well, the population eigenvalues are biased estimates of the variances along the sample eigenvectors. Therefore correction of the sample eigenvalues towards the population eigenvalues is not sufficient. The experiments in this paper show that replacing the sample eigenvalues with the variances along the sample eigenvectors often results in better estimates of the population density than replacing the sample eigenvalues with the population eigenvalues.

KW - IR-70158

KW - METIS-265748

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Hendrikse AJ, Veldhuis RNJ, Spreeuwers LJ. Improved variance estimation along sample eigenvectors. In Proceedings of the 30th Symposium on Information Theory in the Benelux. Eindhoven: Werkgemeenschap voor Informatie- en Communicatietheorie (WIC). 2009. p. 25-32