Robust projection indices

Guy P. Nason

Journal of the Royal Statistical Society Series B, 2001, vol. 63, issue 3, 551-567

Abstract: Loosely speaking a robust projection index is one that prefers projections involving true clusters over projections consisting of a cluster and an outlier. We introduce a mathematical definition of one‐dimensional index robustness and describe a numerical experiment to measure it. We design five new indices based on measuring divergence from Student's t‐distribution which are intended to be especially robust: the experiment shows that they are more robust than several established indices. The experiment also reveals more generally that the robustness of moment indices depends on the number of approximation terms, providing additional practical guidance for existing projection pursuit implementations. We investigate the theoretical properties of one new Student t‐index and Hall's index and show that the new index automatically adapts its robustness to the degree of outlier contamination. We conclude by outlining the possibilities for extending our experiments to both higher dimensions and other new indices.

Date: 2001
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