Fast estimation of the median covariation matrix with application to online robust principal components analysis

DOI10.1007/s11749-016-0519-xzbMath1373.62124arXiv1504.02852OpenAlexW2963891697MaRDI QIDQ89458

Hervé Cardot, Antoine Godichon-Baggioni, Antoine Godichon-Baggioni

Publication date: 8 December 2016

Published in: TEST, Test (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1504.02852

zbMATH Keywords

functional datageometric medianstochastic gradient\(L_1\)-medianrecursive robust estimation

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Nonparametric robustness (62G35) Nonparametric estimation (62G05) Stochastic approximation (62L20)

Related Items

L^p and almost sure rates of convergence of averaged stochastic gradient algorithms: locally strongly convex objective ⋮ Robust functional principal components for sparse longitudinal data ⋮ Kmedians ⋮ Online estimation of the asymptotic variance for averaged stochastic gradient algorithms

Uses Software

• R
• fda (R)
• robustbase
• Gmedian

Cites Work

• Unnamed Item
• Efficient and fast estimation of the geometric median in Hilbert spaces with an averaged stochastic gradient algorithm
• Estimating the geometric median in Hilbert spaces with stochastic gradient algorithms: \(L^p\) and almost sure rates of convergence
• Robustifying principal component analysis with spatial sign vectors
• A fast and recursive algorithm for clustering large datasets with \(k\)-medians
• Robust functional principal components: a projection-pursuit approach
• High breakdown estimators for principal components: the projection-pursuit approach revis\-ited
• Breakdown points of affine equivariant estimators of multivariate location and covariance matrices
• Convergence rate and averaging of nonlinear two-time-scale stochastic approximation algo\-rithms
• High-breakdown robust multivariate methods
• Robust forecasting of mortality and fertility rates: a functional data approach
• Multivariate location estimation using extension of \(R\)-estimates through \(U\)-statistics type approach
• Robust principal component analysis for functional data. (With comments)
• Linear processes in function spaces. Theory and applications
• Principal component analysis.
• Online estimation of the geometric median in Hilbert spaces: nonasymptotic confidence balls
• Functional data analysis.
• A comparison of algorithms for the multivariate \(L_1\)-median
• Dispersion operators and resistant second-order functional data analysis
• Robust functional estimation using the median and spherical principal components
• Stochastic Approximation for Multivariate and Functional Median
• Robust Estimation of Dispersion Matrices and Principal Components
• Acceleration of Stochastic Approximation by Averaging
• A Stable and Efficient Algorithm for the Rank-One Modification of the Symmetric Eigenproblem
• The multivariate L ₁ -median and associated data depth
• Robust Statistics
• Robust Statistics