Robust Q-mode principal component analysis in \(L_{1}\) (Q5941545)

We propose principal components analysis (PCA) of a data set based on the \(L_{1}\)-norm. We distinguish between Q-mode and R-mode analyses. The Q-mode \(L_{1}\)-principal components are sequentially calculated by an enumeration procedure. We show that the Q-mode \(L_{1}\)-norm PCA is a constrained version of the R-mode \(L_{2}\)-norm PCA. Two generalizations are proposed, robustification and extension of Thurston's simple structure. Robustification is achieved by replacing the \(L_{2}\)-norm by an efficient robust A-estimator of scale based on Tukey's biweight function. An extended simple structure is used to discard redundant variables. Examples are provided.