Maximum likelihood principal component analysis with correlated measurement errors: theoretical and practical considerations

被引:73
作者
Wentzell, PD [1 ]
Lohnes, MT [1 ]
机构
[1] Dalhousie Univ, Dept Chem, Trace Anal Res Ctr, Halifax, NS B3H 4J3, Canada
关键词
principal component analysis; multivariate calibration; errors; maximum likelihood; covariance;
D O I
10.1016/S0169-7439(98)00090-2
中图分类号
TP [自动化技术、计算机技术];
学科分类号
0812 ;
摘要
Procedures to compensate for correlated measurement errors in multivariate data analysis are described. These procedures are based on the method of maximum likelihood principal component analysis (MLPCA), previously described in the literature. MLPCA is a decomposition method similar to conventional PCA, but it takes into account measurement uncertainty in the decomposition process, placing less emphasis on measurements with large variance. Although the original MLPCA algorithm can accommodate correlated measurement errors, two drawbacks have limited its practical utility in these cases: (1) an inability to handle rank deficient error covariance matrices, and (2) demanding memory and computational requirements. This paper describes two simplifications to the original algorithm that apply when errors are con-elated only within the rows of a data matrix and when all of these row covariance matrices are equal. Simulated and experimental data for three-component mixtures are used to test the new methods. It was found that inclusion of error covariance information via MLPCA always gave results which were at least as good and normally better than PCA when the true error covariance matrix was available. However, when the error covariance matrix is estimated from replicates, the relative performance depends on the quality of the estimate and the degree of correlation. For experimental data consisting of mixtures of cobalt, chromium and nickel ions, maximum likelihood principal components regression showed an improvement of up to 50% in the cross-validation error when error covariance information was included. (C) 1999 Elsevier Science B.V. All rights reserved.
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页码:65 / 85
页数:21
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