Computational Statistics

, Volume 20, Issue 2, pp 203–229 | Cite as

Robust canonical correlations: A comparative study

  • J. A. Branco
  • C. Croux
  • P. Filzmoser
  • M. R. Oliveira
Article

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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Copyright information

© Springer-Verlag 2005

Authors and Affiliations

  • J. A. Branco
    • 1
  • C. Croux
    • 2
  • P. Filzmoser
    • 3
  • M. R. Oliveira
    • 1
  1. 1.Department of Mathematics and Center for Mathematics and its ApplicationsInstitute Superior TécnicoLisboaPortugal
  2. 2.Department of Applied EconomicsK.U.LeuvenLeuvenBelgium
  3. 3.Department of Statistics and Probability TheoryVienna University of TechnologyViennaAustria

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