Refining Invariant Coordinate Selection via Local Projection Pursuit

Lutz Dümbgen (), Katrin Gysel and Fabrice Perler
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Lutz Dümbgen: University of Bern
Katrin Gysel: SAKK
Fabrice Perler: Bundesamt für Gesundheit

A chapter in Robust and Multivariate Statistical Methods, 2023, pp 121-136 from Springer

Abstract: Abstract Invariant coordinate selection (ICS), introduced by Tyler et al. (J. Roy. Stat. Soc. B 71(3):549–592, 2009), is a powerful tool to find potentially interesting projections of multivariate data. In some cases, some of the projections proposed by ICS come close to really interesting ones, but little deviations can result in a blurred view which does not reveal the feature (e.g., a clustering), which would otherwise be clearly visible. To remedy this problem, we propose an automated and localized version of projection pursuit (PP), cf. Huber (Ann. Stat. 13(2):435–525, 1985). Precisely, our local search is based on gradient descent applied to estimated differential entropy as a function of the projection matrix.

Keywords: Differential entropy; Gradient descent; Local perturbation; Local search; Orthogonal matrix; Orthogonal projection (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-031-22687-8_6

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DOI: 10.1007/978-3-031-22687-8_6

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