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Principal component regression for data containing outliers and missing elements

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  • Serneels, Sven
  • Verdonck, Tim

Abstract

A methodology is presented to construct an expectation robust algorithm for principal component regression. The presented method is the first multivariate regression method which can resist outliers and which can cope with missing elements in the data simultaneously. Simulations and an example illustrate the good statistical properties of the method.

Suggested Citation

  • Serneels, Sven & Verdonck, Tim, 2009. "Principal component regression for data containing outliers and missing elements," Computational Statistics & Data Analysis, Elsevier, vol. 53(11), pages 3855-3863, September.
    • Handle: RePEc:eee:csdana:v:53:y:2009:i:11:p:3855-3863
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    References listed on IDEAS

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    1. Agulló, Jose & Croux, Christophe & Van Aelst, Stefan, 2008. "The multivariate least-trimmed squares estimator," Journal of Multivariate Analysis, Elsevier, vol. 99(3), pages 311-338, March.
    2. Jung, Kang-Mo, 2005. "Multivariate least-trimmed squares regression estimator," Computational Statistics & Data Analysis, Elsevier, vol. 48(2), pages 307-316, February.
    3. 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.
    4. Debruyne, M. & Hubert, M., 2009. "The influence function of the Stahel-Donoho covariance estimator of smallest outlyingness," Statistics & Probability Letters, Elsevier, vol. 79(3), pages 275-282, February.
    5. Serneels, Sven & Verdonck, Tim, 2008. "Principal component analysis for data containing outliers and missing elements," Computational Statistics & Data Analysis, Elsevier, vol. 52(3), pages 1712-1727, January.
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    Cited by:

    1. Sven Serneels, 2019. "Projection pursuit based generalized betas accounting for higher order co-moment effects in financial market analysis," Papers 1908.00141, arXiv.org.
    2. Tsay, Ruey S. & Ando, Tomohiro, 2012. "Bayesian panel data analysis for exploring the impact of subprime financial crisis on the US stock market," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3345-3365.
    3. Ferrari, Pier Alda & Annoni, Paola & Barbiero, Alessandro & Manzi, Giancarlo, 2011. "An imputation method for categorical variables with application to nonlinear principal component analysis," Computational Statistics & Data Analysis, Elsevier, vol. 55(7), pages 2410-2420, July.
    4. Shen Yin & Guang Wang & Xu Yang, 2014. "Robust PLS approach for KPI-related prediction and diagnosis against outliers and missing data," International Journal of Systems Science, Taylor & Francis Journals, vol. 45(7), pages 1375-1382, July.

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