[R] Robust PCA?

Talbot Katz topkatz at msn.com
Fri Jan 19 00:57:54 CET 2007


Hi Bert.

Thank you, that sounds like an excellent idea.  After my initial post, I 
also found an implementation of ROBPCA in S-PLUS at 
(http://wis.kuleuven.be/stat/robust/programs.html).

--  TMK  --
212-460-5430	home
917-656-5351	cell


>From: Bert Gunter <gunter.berton at gene.com>
>To: "'Talbot Katz'" <topkatz at msn.com>, <r-help at stat.math.ethz.ch>
>Subject: RE: [R] Robust PCA?
>Date: Thu, 18 Jan 2007 15:28:47 -0800
>
>You seem not to have received a reply.
>
>You can use cov.rob in MASS or cov.Mcd in robustbase or undoubtedly others
>to obtain a robust covariance matrix and then use that for PCA.
>
>-- Bert
>
>
>Bert Gunter
>Nonclinical Statistics
>7-7374
>
>-----Original Message-----
>From: r-help-bounces at stat.math.ethz.ch
>[mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of Talbot Katz
>Sent: Thursday, January 18, 2007 11:44 AM
>To: r-help at stat.math.ethz.ch
>Subject: [R] Robust PCA?
>
>Hi.
>
>I'm checking into robust methods for principal components analysis.  There
>seem to be several floating around.  I'm currently focusing my attention on
>a method of Hubert, Rousseeuw, and Vanden Branden
>(http://wis.kuleuven.be/stat/Papers/robpca.pdf) mainly because I'm familiar
>with other work by Rousseeuw and Hubert in robust methodologies.  Of 
>course,
>
>I'd like to obtain code for this method, or another good robust PCA method,
>if there's one out there.  I haven't noticed the existence on CRAN of a
>package for robust PCA (the authors of the ROBPCA method do provide MATLAB
>code).
>
>--  TMK  --
>212-460-5430	home
>917-656-5351	cell
>
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