Title: Robust canonical correlations: a comparative study
Authors: Branco, J
Croux, Christophe
Filzmoser, P
Oliveira, R
Issue Date: 2003
Publisher: K.U.Leuven - Departement toegepaste economische wetenschappen
Series Title: DTEW Research Report 0356 pages:1-24
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 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.
Publication status: published
KU Leuven publication type: IR
Appears in Collections:Research Center for Operations Research and Business Statistics (ORSTAT), Leuven

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