Cauchy Robust Principal Component Analysis with Applications to High-Dimensional Data Sets

Aisha Fayomi, Yannis Pantazis, Michail Tsagris and Andrew Wood

No 2304, Working Papers from University of Crete, Department of Economics

Abstract: In this paper, we propose a modified formulation of the principal components analysis, based on the use of a multivariate Cauchy likelihood instead of the Gaussian likelihood, which has the effect of robustifying the principal components. We present an algorithm to compute these robustified principal components. We additionally derive the relevant influence function of the first component and examine its theoretical properties.

Keywords: Principal component analysis; robust; Cauchy log-likelihood; high-dimensional data (search for similar items in EconPapers)
JEL-codes: C13 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2023-02-08
New Economics Papers: this item is included in nep-ecm and nep-ets
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