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Robust canonical correlations: A comparative study |
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| Authors: | J. A. Branco C. Croux P. Filzmoser M. R. Oliveira |
| Affiliation: | (1) Department of Mathematics and Center for Mathematics and its Applications, Institute Superior Técnico, Av. Rovisco Pais, 1049-001 Lisboa, Portugal;(2) Department of Applied Economics, K.U.Leuven, Naamsestraat 69, B-3000 Leuven, Belgium;(3) Department of Statistics and Probability Theory, Vienna University of Technology, Wiedner Hauptstraβe 8-10, A-1040 Vienna, Austria |
| Abstract: | Summary 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 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. |
| Keywords: | Alternating Regressions Canonical Correlation Correlation Measures Projection Pursuit Robustness Robust Covariance Estimation Robust Regression |
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