Robust canonical correlations: A comparative study
AbstractSeveral approaches for robust canonical correlation analysis will be presented and discussed. A first method is based on the definition of canonical correlation analysis as looking for linear combinations of two sets of variables having maximal (robust) correlation. A second method is based on alternating robust regressions. These methods axe discussed in detail and compared with the more traditional approach to robust canonical correlation via covariance matrix estimates. A simulation study compares the performance of the different estimators under several kinds of sampling schemes. Robustness is studied as well by breakdown plots.
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Bibliographic InfoPaper provided by Katholieke Universiteit Leuven in its series Open Access publications from Katholieke Universiteit Leuven with number urn:hdl:123456789/101547.
Date of creation: 2005
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Publication status: Published in Computational statistics (2005) v.20, p.203-229
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Other versions of this item:
- Branco, J & Croux, Christophe & Filzmoser, P & Oliveira, R, 2003. "Robust canonical correlations: a comparative study," Open Access publications from Katholieke Universiteit Leuven urn:hdl:123456789/85543, Katholieke Universiteit Leuven.
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- Taskinen, S & Croux, Christophe & Kankainen, A & Ollila, E & Ona, H, 2003. "Canonical analysis based on scatter matrices," Open Access publications from Katholieke Universiteit Leuven urn:hdl:123456789/118295, Katholieke Universiteit Leuven.
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