ROBPCA : a new approach to robust principal component analysis

Hubert, Mia; Rousseeuw, Peter J.; vanden Branden, K.

doi:10.1198/004017004000000563

Title

ROBPCA : a new approach to robust principal component analysis

Author

Hubert, Mia

Rousseeuw, Peter J.

vanden Branden, K.

Abstract

We introduce a new method for robust principal component analysis (PCA). Classical PCA is based on the empirical covariance matrix of the data and hence is highly sensitive to outlying observations. Two robust approaches have been developed to date. The first approach is based on the eigenvectors of a robust scatter matrix such as the minimum covariance determinant or an S-estimator and is limited to relatively low-dimensional data. The second approach is based on projection pursuit and can handle high-dimensional data. Here we propose the ROBPCA approach. which combines projection pursuit ideas with robust scatter matrix estimation. ROBPCA yields more accurate estimates at noncontaminated datasets and more robust estimates at contaminated data. ROBPCA can be computed rapidly. and is able to detect exact-fit situations. As a by-product. ROBPCA produces a diagnostic plot that displays and classifies the outliers. We apply the algorithm to several datasets from chemometrics and engineering.

Language

English

Source (journal)

Technometrics : a journal of statistics for the physical, chemical, and engineering sciences. - Washington, D.C., 1959, currens

Publication

Washington, D.C. : 2005

ISSN

0040-1706 [print]

1537-2723 [online]

DOI

10.1198/004017004000000563

Volume/pages