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Robust canonical correlations: A comparative study

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  • Branco, JA
  • Croux, Christophe
  • Filzmoser, P
  • Oliveira, MR

Abstract

Several 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 Info

Paper provided by Katholieke Universiteit Leuven in its series Open Access publications from Katholieke Universiteit Leuven with number urn:hdl:123456789/101547.

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Date of creation: 2005
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Publication status: Published in Computational statistics (2005) v.20, p.203-229
Handle: RePEc:ner:leuven:urn:hdl:123456789/101547

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Web page: http://www.kuleuven.be

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  1. 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.
  2. Becker, Claudia & Gather, Ursula, 2001. "The largest nonidentifiable outlier: a comparison of multivariate simultaneous outlier identification rules," Computational Statistics & Data Analysis, Elsevier, vol. 36(1), pages 119-127, March.
  3. Peter Filzmoser & Catherine Dehon & Christophe Croux, 2000. "Outlier resistant estimators for canonical correlation analysis," ULB Institutional Repository 2013/8460, ULB -- Universite Libre de Bruxelles.
  4. Croux, Christophe & Filzmoser, P & Pison, G & Rousseeuw, Peter, 2003. "Fitting multiplicative models by robust alternating regressions," Open Access publications from Katholieke Universiteit Leuven urn:hdl:123456789/85739, Katholieke Universiteit Leuven.
  5. Croux, Christophe & Dehon, C, 2002. "Analyse canonique basée sur des estimateurs robustes de la matrice de covariance," Open Access publications from Katholieke Universiteit Leuven urn:hdl:123456789/85735, Katholieke Universiteit Leuven.
  6. Lyttkens, Ejnar, 1972. "Regression aspects of canonical correlation," Journal of Multivariate Analysis, Elsevier, vol. 2(4), pages 418-439, December.
  7. Mario Romanazzi, 1992. "Influence in canonical correlation analysis," Psychometrika, Springer, vol. 57(2), pages 237-259, June.
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Cited by:
  1. Lykou, Anastasia & Whittaker, Joe, 2010. "Sparse CCA using a Lasso with positivity constraints," Computational Statistics & Data Analysis, Elsevier, vol. 54(12), pages 3144-3157, December.
  2. Bicu Andreea & Candelon Bertrand, 2012. "Government bond market dynamics and sovereign risk: systemic or idiosyncratic?," Research Memoranda 032, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization.

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