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Robust Principal Component Analysis Based on Modified Minimum Covariance Determinant in the Presence of Outliers

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  • B. Barış Alkan

Abstract

Principal component analysis (PCA) is not resistant to outliers existing in multivariate data sets. The results which are obtained by using classical PCA are far from real values in the presence of outliers. Therefore, using robust versions of PCA is favorable. The easiest way to obtain robust principal components is to replace classical estimates of the location and scale parameters with their robust versions. Robust estimations of location and scale parameters can be found with minimum covariance determinant (MCD) providing high breakdown point. In this study, algorithm of MCD is modified using Jackknife resampling approach and results of this modification are examined. Proposed robust principal component analysis (RPCA) based on modified MCD (MMCD) method that is modified using Jaccknife resampling are evaluated over two real data with different outlier ratios. In the light of obtained results, it can be said that RPCA based on MMCD is better than RPCA based on MCD in the presence of outliers.

Suggested Citation

  • B. Barış Alkan, 2016. "Robust Principal Component Analysis Based on Modified Minimum Covariance Determinant in the Presence of Outliers," Alphanumeric Journal, Bahadir Fatih Yildirim, vol. 4(2), pages 85-94, September.
    • Handle: RePEc:anm:alpnmr:v:4:y:2016:i:2:p:85-94
    DOI: http://dx.doi.org/10.17093/aj.2016.4.2.5000189525
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    References listed on IDEAS

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    1. Croux, Christophe & Ruiz-Gazen, Anne, 2005. "High breakdown estimators for principal components: the projection-pursuit approach revisited," Journal of Multivariate Analysis, Elsevier, vol. 95(1), pages 206-226, July.
    2. N. Locantore & J. Marron & D. Simpson & N. Tripoli & J. Zhang & K. Cohen & Graciela Boente & Ricardo Fraiman & Babette Brumback & Christophe Croux & Jianqing Fan & Alois Kneip & John Marden & Daniel P, 1999. "Robust principal component analysis for functional data," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 8(1), pages 1-73, June.
    3. B. Baris Alkan & Cemal Atakan & Nesrin Alkan, 2015. "A comparison of different procedures for principal component analysis in the presence of outliers," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(8), pages 1716-1722, August.
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    More about this item

    Keywords

    Minimum Covariance Determinant; Outliers; Robust Principal Component Analysis;
    All these keywords.

    JEL classification:

    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis

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