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Robust Principal Component Analysis Using the Cauchy Distribution

Michail Tsagris

Last update: 24 January 2024

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 1.0, 1.1, 1.2, 1.3

Description

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>.

Cites work

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

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