Robust canonical correlations: A comparative study | Zendy

João A. Branco | Zendy; Christophe Croux | Zendy; Peter Filzmoser | Zendy; M. Rosário Oliveira | Zendy

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Robust canonical correlations: A comparative study

Author(s) -

João A. Branco,

Christophe Croux,

Peter Filzmoser,

M. Rosário Oliveira

Publication year - 2005

Publication title -

computational statistics

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.494

H-Index - 44

eISSN - 1613-9658

pISSN - 0943-4062

DOI - 10.1007/bf02789700

Subject(s) - canonical correlation , covariance matrix , estimator , robustness (evolution) , canonical analysis , covariance , mathematics , correlation , statistics , canonical form , computer science , biochemistry , chemistry , geometry , pure mathematics , gene

SummarySeveral 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 are 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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