cauchypca (Q89971)

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Robust Principal Component Analysis Using the Cauchy Distribution
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cauchypca
Robust Principal Component Analysis Using the Cauchy Distribution

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    1.0
    9 November 2022
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    1.1
    15 September 2023
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    1.2
    22 October 2023
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    1.3
    24 January 2024
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    24 January 2024
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    A new robust principal component analysis algorithm is implemented that relies upon the Cauchy Distribution. The algorithm is suitable for high dimensional data even if the sample size is less than the number of variables. The methodology is described in this paper: Fayomi A., Pantazis Y., Tsagris M. and Wood A.T.A. (2024). "Cauchy robust principal component analysis with applications to high-dimensional data sets". Statistics and Computing, 34: 26. <doi:10.1007/s11222-023-10328-x>.
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