Given several data series of equal length, the procedure ROBPC computes a robust correlation matrix for principal-component analysis, omitting high-leverage observations that can distort the usual product-moment correlation matrix. To find such observations, ROBPC estimates the median center of the data, then omits points whose euclidean distance from the median center exceed a cutoff value based on the chi-square distribution.
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Software component provided by Boston College Department of Economics in its series Statistical Software Components with number
R141105.
Size: Programming language: RATS Requires: Date of creation: 07 May 2006 Date of revision: Handle: RePEc:boc:bocode:r141105
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