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An improved algorithm for robust PCA

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COMPSTAT

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Abstract

In Croux and Ruiz (1996) a robust principal component algorithm is presented. It is based on projection pursuit to ensure that it can be applied to high-dimensional data. We note that this algorithm has a problem of numerical stability and we develop an improved version. To reduce the computation time we then propose a two-step algorithm. The new algorithm is illustrated on a real data set from chemometrics

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References

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Author information

Authors and Affiliations

  1. Department of Mathematics and Computer Science, University of Antwerp (UTA), Universiteitsplein, 1, 2610, Wilrijk, Belgium

    Sabine Verboven, Peter J. Rousseeuw & Mia Hubert

Authors
  1. Sabine Verboven
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  2. Peter J. Rousseeuw
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  3. Mia Hubert
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Editor information

Editors and Affiliations

  1. Department of Statistical Methods, Statistics Netherlands, P.O. Box 4000, 2270 JM, Voorburg, The Netherlands

    Jelke G. Bethlehem

  2. Faculty of Social Sciences, Department of Methodology and Statistics, Utrecht University, P.O. Box 80140, 3508 TC, Utrecht, The Netherlands

    Peter G. M. van der Heijden

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© 2000 Springer-Verlag Berlin Heidelberg

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Verboven, S., Rousseeuw, P.J., Hubert, M. (2000). An improved algorithm for robust PCA. In: Bethlehem, J.G., van der Heijden, P.G.M. (eds) COMPSTAT. Physica, Heidelberg. https://doi.org/10.1007/978-3-642-57678-2_67

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  • DOI: https://doi.org/10.1007/978-3-642-57678-2_67

  • Publisher Name: Physica, Heidelberg

  • Print ISBN: 978-3-7908-1326-5

  • Online ISBN: 978-3-642-57678-2

  • eBook Packages: Springer Book Archive

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