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Test of linear trend in eigenvalues of a covariance matrix with application to data analysis
Author(s) -
Bentler P. M.,
Yuan KeHai
Publication year - 1996
Publication title -
british journal of mathematical and statistical psychology
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 3.157
H-Index - 51
eISSN - 2044-8317
pISSN - 0007-1102
DOI - 10.1111/j.2044-8317.1996.tb01090.x
Subject(s) - test (biology) , eigenvalues and eigenvectors , mathematics , covariance matrix , statistics , matrix (chemical analysis) , econometrics , covariance , physics , materials science , quantum mechanics , paleontology , biology , composite material
Principal component analysis and factor analysis are the most widely used tools for dimension reduction in data analysis. Both methods require some good criterion to judge the number of dimensions to be kept. The classical method focuses on testing the equality of eigenvalues. As real data hardly have this property, practitioners turn to some ad hoc criterion in judging the dimensionality of their data. One such popular method, the ‘scree test’ or ‘scree plot’ as described in many texts and statistical programs, is based on the trend in eigenvalues of sample covariance (correlation) matrix. The principal components or common factors corresponding to eigenvalues which exhibit a slow linear decrease arc discarded in further data analysis. This paper develops a formal statistical test for the ‘scree plot’. A special case of this test is the classical test for equality of eigenvalues which has been suggested in several texts as the criterion to decide the number of principal components to retain. Comparisons between equality of eigenvalues and the slow linear decrease in eigenvalues on some classical examples support the hypothesis of slow linear decrease. A physical background to such a phenomenon is also suggested.