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文章基本信息

  • 标题:Robust Covariance Matrix Estimation with Canonical Correlation Analysis
  • 本地全文:下载
  • 作者:Jianfeng Zhang ; David Olive ; Ping Ye
  • 期刊名称:International Journal of Statistics and Probability
  • 印刷版ISSN:1927-7032
  • 电子版ISSN:1927-7040
  • 出版年度:2012
  • 卷号:1
  • 期号:2
  • 页码:119
  • DOI:10.5539/ijsp.v1n2p119
  • 出版社:Canadian Center of Science and Education
  • 摘要:

    This paper gives three easily computed highly outlier resistant robust $\sqrt{n}$ consistent estimators of multivariate location and dispersion for elliptically contoured distributions with fourth moments. When the data is from a multivariate normal distribution, the dispersion estimators are also consistent estimators of the covariance matrix. Outlier detection and robust canonical correlation analysis are presented as applications.

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