ROBPC: RATS module to compute robust correlation matrix

Eric Blankmeyer ()
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Eric Blankmeyer: Texas State University

Statistical Software Components from Boston College Department of Economics

Abstract: Given several data series of equal length, the procedure ROBPC computes a robust correlation matrix for principal-component analysis, omitting high-leverage observations that can distort the usual product-moment correlation matrix. To find such observations, ROBPC estimates the median center of the data, then omits points whose euclidean distance from the median center exceed a cutoff value based on the chi-square distribution.

Language: RATS
Keywords: correlation; robust (search for similar items in EconPapers)
Date: Written 2006-05-07

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