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Comparison of the Quality of Robust PCA versions in the Reducion of datasets with Outliers

P. 1–5.
Goryainov V. B., E. R. Goryainova

The paper considers PCA modifications based on
robust estimates of correlation matrices of observed multivariate
correlated indicators. Based on simulated and real socio-economic
data, the robust versions of the PCA were compared with
the traditional version. A higher quality of robust PCA is
demonstrated when observations contain outliers or have heavytailed
distributions.

Language: English
Full text
DOI
Keywords: principal component analysisTukey distributionbimodal distributionGnanadesikan-Ketenring estimateMCD-estimatorOlive-Hawkins estimaterobust estimates of the correlation matrix

In book

16th International Conference Management of large-scale system development (MLSD)
IEEE, 2023.
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