Robust sparse canonical correlation analysis

Ines Wilms and Christophe Croux

No 472948, Working Papers of Department of Decision Sciences and Information Management, Leuven from KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven

Abstract: Canonical correlation analysis (CCA) is a multivariate statistical method which describes the associations between two sets of variables. The objective is to find linear combinations of the variables in each data set having maximal correlation. This paper discusses a method for Robust Sparse CCA. Sparse estimation produces canonical vectors with some of their elements estimated as exactly zero. As such, their interpretability is improved. We also robustify the method such that it can cope with outliers in the data. To estimate the canonical vectors, we convert the CCA problem into an alternating regression framework, and use the sparse Least Trimmed Squares estimator. We illustrate the good performance of the Robust Sparse CCA method in several simulation studies and two real data examples.

Keywords: Canonical correlation analysis; Penalized regression; Robust regression; Sparse Least Trimmed Squares (search for similar items in EconPapers)
Date: 2014
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Published in FEB Research Report KBI_1428

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Persistent link: https://EconPapers.repec.org/RePEc:ete:kbiper:472948

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