English, Article edition: ROBPC: RATS module to compute robust correlation matrix Eric Blankmeyer

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Bookmark: http://trove.nla.gov.au/version/103573
Physical Description
  • code
Language
  • English

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Title
  • ROBPC: RATS module to compute robust correlation matrix
Author
  • Eric Blankmeyer
Physical Description
  • code
Notes
  • Given several data series of equal length, the procedure ROBPC computes a robust correlation matrix for principal-component analysis, omitting high-leverage observations that can distort the usual product-moment correlation matrix. To find such observations, ROBPC estimates the median center of the data, then omits points whose euclidean distance from the median center exceed a cutoff value based on the chi-square distribution.
  • correlation, robust
  • RePEc:boc:bocode:r141105
Language
  • English
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