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

DOI10.1007/s11749-016-0519-xzbMath1373.62124arXiv1504.02852MaRDI 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 data; geometric median; stochastic gradient; \(L_1\)-median; recursive robust estimation

Mathematics Subject Classification ID

62H25: Factor analysis and principal components; correspondence analysis

62G35: Nonparametric robustness

62G05: Nonparametric estimation

62L20: Stochastic approximation

Related Items

Kmedians

Uses Software

• R
• fda (R)
• robustbase
• Gmedian