Cauchy robust principal component analysis with applications to high-deimensional data sets

DOI10.48550/ARXIV.2211.03181zbMATH Open1529.62018arXiv2211.03181MaRDI QIDQ89970FDOQ89970

Authors: Ayisha Fayomi, Yannis Pantazis, Andrew T. A. Wood, Michail Tsagris, Aisha Fouad Fayomi, Yannis Pantazis, Michail Tsagris, Andrew T. A. Wood 

Publication date: 6 November 2022

Published in: Statistics and Computing (Search for Journal in Brave)

Abstract: Principal component analysis (PCA) is a standard dimensionality reduction technique used in various research and applied fields. From an algorithmic point of view, classical PCA can be formulated in terms of operations on a multivariate Gaussian likelihood. As a consequence of the implied Gaussian formulation, the principal components are not robust to outliers. In this paper, we propose a modified formulation, based on the use of a multivariate Cauchy likelihood instead of the Gaussian likelihood, which has the effect of robustifying the principal components. We present an algorithm to compute these robustified principal components. We additionally derive the relevant influence function of the first component and examine its theoretical properties. Simulation experiments on high-dimensional datasets demonstrate that the estimated principal components based on the Cauchy likelihood outperform or are on par with existing robust PCA techniques.

Full work available at URL: https://arxiv.org/abs/2211.03181

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zbMATH Keywords

robusthigh-dimensional dataprincipal component analysisCauchy log-likelihood

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Factor analysis and principal components; correspondence analysis (62H25)

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Cited In (1)

• Robust factored principal component analysis for matrix-valued outlier accommodation and detection

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