Search results for "robustisuus"

Järjestyslukuihin perustuva eksponentiaalinen tasoitus ja volatiliteetin ennustaminen

2009

Robustifying principal component analysis with spatial sign vectors

2012

In this paper, we apply orthogonally equivariant spatial sign covariance matrices as well as their affine equivariant counterparts in principal component analysis. The influence functions and asymptotic covariance matrices of eigenvectors based on robust covariance estimators are derived in order to compare the robustness and efficiency properties. We show in particular that the estimators that use pairwise differences of the observed data have very good efficiency properties, providing practical robust alternatives to classical sample covariance matrix based methods. peerReviewed