Principal Component Analysis (PCA) is a classical technique of dimension reduction for multivariate data. When the data are a mixture of subjects from different subpopulations one can be interested in PCA of some (or each) subpopulation separately. In this paper estimators are considered for PC directions and corresponding eigenvectors of subpopulations in the nonparametric model of mixture with varying concentrations. Consistency and asymptotic normality of obtained estimators are proved. These results allow one to construct confidence sets for the PC model parameters. Performance of such confidence intervals for the leading eigenvalues is investigated via simulations.
A general jackknife estimator for the asymptotic covariance of moment estimators is considered in the case when the sample is taken from a mixture with varying concentrations of components. Consistency of the estimator is demonstrated. A fast algorithm for its calculation is described. The estimator is applied to construction of confidence sets for regression parameters in the linear regression with errors in variables. An application to sociological data analysis is considered.
Confidence ellipsoids for linear regression coefficients are constructed by observations from a mixture with varying concentrations. Two approaches are discussed. The first one is the nonparametric approach based on the weighted least squares technique. The second one is an approximate maximum likelihood estimation with application of the EM-algorithm for the estimates calculation.
We consider a finite mixture model with varying mixing probabilities. Linear regression models are assumed for observed variables with coefficients depending on the mixture component the observed subject belongs to. A modification of the least-squares estimator is proposed for estimation of the regression coefficients. Consistency and asymptotic normality of the estimates is demonstrated.
A mixture with varying concentrations is a modification of a finite mixture model in which the mixing probabilities (concentrations of mixture components) may be different for different observations. In the paper, we assume that the concentrations are known and the distributions of components are completely unknown. Nonparametric technique is proposed for testing hypotheses on functional moments of components.