SENSITIVITY ANALYSIS IN MULTIVARIATE METHODS

Abstract

The present paper discusses principles and methods of sensitivity analysis in multivariate methods such as principal component analysis and correspondence analysis, which are formulated as eigenvalue problems, and in various methods of exploratory factor analysis, which containeigenvalue problems in their determinating equations.Major mathematical tools are influence function introduced by Hampel(1974)and perturbation theory of eigenvalue problems.Theoretical influence functions, empirical influence functions and deleted empirical influence functions are used for detecting influential observations in those multivariate methods. Numerical examples are shown for illustration.