A Comparison of Three Procedures for Robust PCA in High Dimensions
In this paper we compare three procedures for robust Principal Components Analysis (PCA). The first method is called ROBPCA (see Hubert et al., 2005). It combines projection pursuit ideas with robust covariance estimation. The original algorithm for its computation is designed to construct an optima...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Austrian Statistical Society
2016-04-01
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| Series: | Austrian Journal of Statistics |
| Online Access: | http://www.ajs.or.at/index.php/ajs/article/view/405 |