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Introduction
Robust
Covariance
Matrix
Robust PCA
Application
Conclusion
X2
Introduction
Robust
Covariance
Matrix
Robust PCA
Application
Conclusion
X1
X2
Introduction
Robust
Covariance
Matrix
Robust PCA
Application
Conclusion
X1
X2
Introduction
Robust
Covariance
Matrix
Robust PCA
Application
Conclusion
X1
X2
Introduction
Robust
Covariance
Matrix
Robust PCA
Application
Conclusion
X1
Introduction
Robust
Covariance
Matrix
Robust PCA
Application
Conclusion
Introduction
Robust
Covariance
Matrix
Robust PCA
Application
Conclusion
Introduction
Robust
Covariance
Matrix
Robust PCA
Application
Conclusion
Robust
Covariance
Matrix
Robust PCA
Application
Conclusion
Introduction
Robust
Covariance
Matrix
Robust PCA
Application
Conclusion
Introduction
Robust
Covariance
Matrix
Robust PCA
Application
Conclusion
. corr x1 x2 x3
(obs=1000)
Introduction
Robust
x1
x2
x3
x1
x2
x3
1.0000
0.7097
0.6162
1.0000
0.5216
1.0000
x1
x2
x3
1.0000
0.0005
-0.0148
1.0000
0.5216
1.0000
Covariance
Matrix
Robust PCA
Application
Conclusion
x1
x2
x3
. corr x1 x2 x3
(obs=1000)
Introduction
Robust
x1
x2
x3
x1
x2
x3
1.0000
0.7097
0.6162
1.0000
0.5216
1.0000
x1
x2
x3
1.0000
0.0005
-0.0148
1.0000
0.5216
1.0000
Covariance
Matrix
Robust PCA
Application
Conclusion
x1
x2
x3
. corr x1 x2 x3
(obs=1000)
Introduction
Robust
x1
x2
x3
x1
x2
x3
1.0000
0.7097
0.6162
1.0000
0.5216
1.0000
x1
x2
x3
1.0000
0.0005
-0.0148
1.0000
0.5216
1.0000
Covariance
Matrix
Robust PCA
Application
Conclusion
x1
x2
x3
Introduction
Robust
Covariance
Matrix
Robust PCA
Application
Conclusion
Introduction
Robust
Covariance
Matrix
Robust PCA
Application
Conclusion
2
x
xy
xy
2
y
and det()
2
x
2
y
2
xy
Robust
Covariance
Matrix
Robust PCA
Application
Conclusion
200
58
9.054910 ...
100
Solution: use subsampling algorithms
1.P-subset
Robust
Covariance
Matrix
Robust PCA
Application
Conclusion
Introduction
Robust
Covariance
Matrix
Robust PCA
Application
Conclusion
Introduction
Robust
Covariance
Matrix
Robust PCA
Pr
1 1 1 %
Contamination:
Application
Conclusion
N
*
log(1Pr)
log(1(1 ) )
Introduction
Robust
Covariance
Matrix
Robust PCA
Application
Conclusion
Pr 1 1 1
N
*
log(1Pr)
log(1(1 ) )
Introduction
Robust
Covariance
Matrix
Robust PCA
Application
Conclusion
Pr 1 1 1
outlier
N
p
log(1(1 ) )
Introduction
Robust
Covariance
Matrix
Robust PCA
Application
Conclusion
Pr 1 1 1
an
outlier
N
p
log(1(1 ) )
Introduction
Robust
Covariance
Matrix
Robust PCA
Application
Conclusion
Pr 1 1 1
subsets
(i.e. that all pN log(1considered
p
(1 ) )
Introduction
Robust
Covariance
Matrix
Robust PCA
Application
Conclusion
Pr 1 1 1
considered
N
p
log(1(1 ) )
Introduction
Robust
Covariance
Matrix
Robust PCA
Application
Conclusion
Pr 1 1 1
Rearranging we have:
N
*
log(1Pr)
log(1(1 ) )
Robust
Covariance
Matrix
Robust PCA
Application
p2 .
Conclusion
MD are distributed as
data.
for Gaussian
Robust
Covariance
Matrix
Robust PCA
Application
Conclusion
previous
step
till
Robust
Covariance
Matrix
Robust PCA
Application
Conclusion
1. Compute a variant of MD
MD ( x ) 1( x
i
Introduction
Robust
Covariance
Matrix
Robust PCA
Application
Conclusion
MED
MED
)'
. Use
2. Sort individuals according to MD
the subset with the first p+1 points to
re-estimate and .
3. Compute MD and sort the data.
4. Check if the first point out of the
subset is an outlier. If not, add this
point to the subset and repeat steps
3 and 4. Otherwise stop.
Introduction
Robust
Covariance
Matrix
Robust PCA
Application
Conclusion
clear
set obs 1000
local b=sqrt(invchi2(5,0.95))
drawnorm x1-x5 e
replace x1=invnorm(uniform())+5 in
1/100
mcd x*, outlier
gen RD=Robust_distance
hadimvo x*, gen(a b) p(0.5)
scatter RD b, xline(`b') yline(`b')
8
6
Fast-MCD
Robust
Covariance
Matrix
Robust PCA
Robust distance
4
Introduction
Application
Conclusion
Hadi
0
2
3
Hadi distance (p=.5)
C .7 1
.6 .5 1
Introduction
Robust
Covariance
Matrix
Robust PCA
Number of obs
Number of comp.
Trace
Rho
=
=
=
=
1000
3
3
1.0000
Component
Eigenvalue
Difference
Proportion
Cumulative
Comp1
Comp2
Comp3
2.26233
.471721
.26595
1.79061
.205771
.
0.7541
0.1572
0.0886
0.7541
0.9114
1.0000
Application
Variable
Comp1
Comp2
Comp3
Unexplained
Conclusion
x1
x2
x3
0.6021
0.5815
0.5471
-0.2227
-0.5358
0.8145
-0.7667
0.6123
0.1931
0
0
0
C .7 1
.6 .5 1
Introduction
Robust
Covariance
Matrix
Robust PCA
Number of obs
Number of comp.
Trace
Rho
=
=
=
=
1000
3
3
1.0000
Component
Eigenvalue
Difference
Proportion
Cumulative
Comp1
Comp2
Comp3
2.26233
.471721
.26595
1.79061
.205771
.
0.7541
0.1572
0.0886
0.7541
0.9114
1.0000
Application
Variable
Comp1
Comp2
Comp3
Unexplained
Conclusion
x1
x2
x3
0.6021
0.5815
0.5471
-0.2227
-0.5358
0.8145
-0.7667
0.6123
0.1931
0
0
0
Robust
Covariance
Matrix
Robust PCA
Application
Conclusion
Number of obs
Number of comp.
Trace
Rho
=
=
=
=
1000
3
3
1.0000
Component
Eigenvalue
Difference
Proportion
Cumulative
Comp1
Comp2
Comp3
1.51219
1.00075
.487058
.511435
.513695
.
0.5041
0.3336
0.1624
0.5041
0.8376
1.0000
Comp1
Comp2
Comp3
Unexplained
x1
x2
x3
-0.0261
0.7064
0.7073
0.9986
0.0512
-0.0143
0.0463
-0.7059
0.7068
0
0
0
Robust
Covariance
Matrix
Robust PCA
Application
Conclusion
Number of obs
Number of comp.
Trace
Rho
=
=
=
=
1000
3
3
1.0000
Component
Eigenvalue
Difference
Proportion
Cumulative
Comp1
Comp2
Comp3
1.51219
1.00075
.487058
.511435
.513695
.
0.5041
0.3336
0.1624
0.5041
0.8376
1.0000
Comp1
Comp2
Comp3
Unexplained
x1
x2
x3
-0.0261
0.7064
0.7073
0.9986
0.0512
-0.0143
0.0463
-0.7059
0.7068
0
0
0
Robust
Covariance
Matrix
Robust PCA
Application
Conclusion
Number of obs
Number of comp.
Trace
Rho
=
=
=
=
1000
3
3
1.0000
Component
Eigenvalue
Difference
Proportion
Cumulative
Comp1
Comp2
Comp3
1.51219
1.00075
.487058
.511435
.513695
.
0.5041
0.3336
0.1624
0.5041
0.8376
1.0000
Comp1
Comp2
Comp3
Unexplained
x1
x2
x3
-0.0261
0.7064
0.7073
0.9986
0.0512
-0.0143
0.0463
-0.7059
0.7068
0
0
0
. mcd x*
The number of subsamples to check is 20
. pcamat covRMCD, n(1000)
Principal components/correlation
Introduction
Robust
Covariance
Matrix
Robust PCA
Application
Conclusion
Number of obs
Number of comp.
Trace
Rho
=
=
=
=
1000
3
3
1.0000
Component
Eigenvalue
Difference
Proportion
Cumulative
Comp1
Comp2
Comp3
2.24708
.473402
.27952
1.77368
.193882
.
0.7490
0.1578
0.0932
0.7490
0.9068
1.0000
Comp1
Comp2
Comp3
Unexplained
x1
x2
x3
0.6045
0.5701
0.5564
-0.0883
-0.6462
0.7581
-0.7917
0.5074
0.3402
0
0
0
. mcd x*
The number of subsamples to check is 20
. pcamat covRMCD, n(1000)
Principal components/correlation
Introduction
Robust
Covariance
Matrix
Robust PCA
Application
Conclusion
Number of obs
Number of comp.
Trace
Rho
=
=
=
=
1000
3
3
1.0000
Component
Eigenvalue
Difference
Proportion
Cumulative
Comp1
Comp2
Comp3
2.24708
.473402
.27952
1.77368
.193882
.
0.7490
0.1578
0.0932
0.7490
0.9068
1.0000
Comp1
Comp2
Comp3
Unexplained
x1
x2
x3
0.6045
0.5701
0.5564
-0.0883
-0.6462
0.7581
-0.7917
0.5074
0.3402
0
0
0
. mcd x*
The number of subsamples to check is 20
. pcamat covRMCD, n(1000)
Principal components/correlation
Introduction
Robust
Covariance
Matrix
Robust PCA
Application
Conclusion
Number of obs
Number of comp.
Trace
Rho
=
=
=
=
1000
3
3
1.0000
Component
Eigenvalue
Difference
Proportion
Cumulative
Comp1
Comp2
Comp3
2.24708
.473402
.27952
1.77368
.193882
.
0.7490
0.1578
0.0932
0.7490
0.9068
1.0000
Comp1
Comp2
Comp3
Unexplained
x1
x2
x3
0.6045
0.5701
0.5564
-0.0883
-0.6462
0.7581
-0.7917
0.5074
0.3402
0
0
0
Robust
Covariance
Matrix
Robust PCA
Application
Conclusion
Robust
Covariance
Matrix
Robust PCA
Application
Conclusion
. pca
Principal components/correlation
Number of obs
Number of comp.
Trace
Rho
Robust
Covariance
Matrix
Robust PCA
Application
Conclusion
=
=
=
=
150
5
5
1.0000
Component
Eigenvalue
Difference
Proportion
Cumulative
Comp1
Comp2
Comp3
Comp4
Comp5
3.40526
.872601
.414444
.189033
.118665
2.53266
.458157
.225411
.0703686
.
0.6811
0.1745
0.0829
0.0378
0.0237
0.6811
0.8556
0.9385
0.9763
1.0000
Comp1
Comp2
Comp3
Comp4
Comp5
Unexplained
scoreonalu~i
scoreonaward
scoreonhici
scoreonns
scoreonpub
0.4244
0.4405
0.4829
0.5008
0.3767
-0.4816
-0.5202
0.2651
0.1280
0.6409
0.5697
-0.1339
-0.4261
-0.3848
0.5726
-0.5129
0.6991
-0.3417
-0.1104
0.3453
-0.0155
0.1696
0.6310
-0.7567
0.0161
0
0
0
0
0
. pca
Principal components/correlation
Number of obs
Number of comp.
Trace
Rho
Robust
Covariance
Matrix
Robust PCA
Application
Conclusion
=
=
=
=
150
5
5
1.0000
Component
Eigenvalue
Difference
Proportion
Cumulative
Comp1
Comp2
Comp3
Comp4
Comp5
3.40526
.872601
.414444
.189033
.118665
2.53266
.458157
.225411
.0703686
.
0.6811
0.1745
0.0829
0.0378
0.0237
0.6811
0.8556
0.9385
0.9763
1.0000
Comp1
Comp2
Comp3
Comp4
Comp5
Unexplained
scoreonalu~i
scoreonaward
scoreonhici
scoreonns
scoreonpub
0.4244
0.4405
0.4829
0.5008
0.3767
-0.4816
-0.5202
0.2651
0.1280
0.6409
0.5697
-0.1339
-0.4261
-0.3848
0.5726
-0.5129
0.6991
-0.3417
-0.1104
0.3453
-0.0155
0.1696
0.6310
-0.7567
0.0161
0
0
0
0
0
. pca
Principal components/correlation
Number of obs
Number of comp.
Trace
Rho
Robust
Covariance
Matrix
Robust PCA
Application
Conclusion
=
=
=
=
150
5
5
1.0000
Component
Eigenvalue
Difference
Proportion
Cumulative
Comp1
Comp2
Comp3
Comp4
Comp5
3.40526
.872601
.414444
.189033
.118665
2.53266
.458157
.225411
.0703686
.
0.6811
0.1745
0.0829
0.0378
0.0237
0.6811
0.8556
0.9385
0.9763
1.0000
Comp1
Comp2
Comp3
Comp4
Comp5
Unexplained
scoreonalu~i
scoreonaward
scoreonhici
scoreonns
scoreonpub
0.4244
0.4405
0.4829
0.5008
0.3767
-0.4816
-0.5202
0.2651
0.1280
0.6409
0.5697
-0.1339
-0.4261
-0.3848
0.5726
-0.5129
0.6991
-0.3417
-0.1104
0.3453
-0.0155
0.1696
0.6310
-0.7567
0.0161
0
0
0
0
0
Robust
Covariance
Matrix
Robust PCA
Application
Conclusion
1=0.42Al.+0.44Aw.+0.48HiCi+0.50NS+0.38PUB
Variable
Corr. (1,Xi)
Alumni
Awards
HiCi
N&S
PUB
Total score
0.78
0.81
0.89
0.92
0.70
0.99
Robust
Covariance
Matrix
Robust PCA
Application
Conclusion
Number of obs
Number of comp.
Trace
Rho
=
=
=
=
150
5
5
1.0000
Component
Eigenvalue
Difference
Proportion
Cumulative
Comp1
Comp2
Comp3
Comp4
Comp5
1.96803
1.46006
.835928
.409133
.326847
.507974
.624132
.426794
.0822867
.
0.3936
0.2920
0.1672
0.0818
0.0654
0.3936
0.6856
0.8528
0.9346
1.0000
Comp1
Comp2
Comp3
Comp4
Comp5
Unexplained
scoreonalu~i
scoreonaward
scoreonhici
scoreonns
scoreonpub
-0.4437
-0.5128
0.5322
0.3178
0.3948
0.4991
0.4375
0.3220
0.6537
0.1690
0.2350
-0.0544
-0.3983
-0.1712
0.8682
0.6946
-0.5293
0.3494
-0.3163
-0.1233
-0.1277
0.5123
0.5765
-0.5851
0.2158
0
0
0
0
0
Robust
Covariance
Matrix
Robust PCA
Application
Conclusion
Number of obs
Number of comp.
Trace
Rho
=
=
=
=
150
5
5
1.0000
Component
Eigenvalue
Difference
Proportion
Cumulative
Comp1
Comp2
Comp3
Comp4
Comp5
1.96803
1.46006
.835928
.409133
.326847
.507974
.624132
.426794
.0822867
.
0.3936
0.2920
0.1672
0.0818
0.0654
0.3936
0.6856
0.8528
0.9346
1.0000
Comp1
Comp2
Comp3
Comp4
Comp5
Unexplained
scoreonalu~i
scoreonaward
scoreonhici
scoreonns
scoreonpub
-0.4437
-0.5128
0.5322
0.3178
0.3948
0.4991
0.4375
0.3220
0.6537
0.1690
0.2350
-0.0544
-0.3983
-0.1712
0.8682
0.6946
-0.5293
0.3494
-0.3163
-0.1233
-0.1277
0.5123
0.5765
-0.5851
0.2158
0
0
0
0
0
Robust
Covariance
Matrix
Robust PCA
Application
Conclusion
Number of obs
Number of comp.
Trace
Rho
=
=
=
=
150
5
5
1.0000
Component
Eigenvalue
Difference
Proportion
Cumulative
Comp1
Comp2
Comp3
Comp4
Comp5
1.96803
1.46006
.835928
.409133
.326847
.507974
.624132
.426794
.0822867
.
0.3936
0.2920
0.1672
0.0818
0.0654
0.3936
0.6856
0.8528
0.9346
1.0000
Comp1
Comp2
Comp3
Comp4
Comp5
Unexplained
scoreonalu~i
scoreonaward
scoreonhici
scoreonns
scoreonpub
-0.4437
-0.5128
0.5322
0.3178
0.3948
0.4991
0.4375
0.3220
0.6537
0.1690
0.2350
-0.0544
-0.3983
-0.1712
0.8682
0.6946
-0.5293
0.3494
-0.3163
-0.1233
-0.1277
0.5123
0.5765
-0.5851
0.2158
0
0
0
0
0
Robust
Covariance
Matrix
Robust PCA
Application
Conclusion
Number of obs
Number of comp.
Trace
Rho
=
=
=
=
150
5
5
1.0000
Component
Eigenvalue
Difference
Proportion
Cumulative
Comp1
Comp2
Comp3
Comp4
Comp5
1.96803
1.46006
.835928
.409133
.326847
.507974
.624132
.426794
.0822867
.
0.3936
0.2920
0.1672
0.0818
0.0654
0.3936
0.6856
0.8528
0.9346
1.0000
Comp1
Comp2
Comp3
Comp4
Comp5
Unexplained
scoreonalu~i
scoreonaward
scoreonhici
scoreonns
scoreonpub
-0.4437
-0.5128
0.5322
0.3178
0.3948
0.4991
0.4375
0.3220
0.6537
0.1690
0.2350
-0.0544
-0.3983
-0.1712
0.8682
0.6946
-0.5293
0.3494
-0.3163
-0.1233
-0.1277
0.5123
0.5765
-0.5851
0.2158
0
0
0
0
0
Introduction
Corr. (1,)
Corr. (2,)
Alumni
Awards
HiCi
N&S
PUB
Total score
-0.05
-0.01
0.74
0.63
0.72
0.99
0.78
0.83
0.88
0.95
0.63
0.47
Robust
Covariance
Matrix
Robust PCA
Application
Conclusion
Robust
Covariance
Matrix
Robust PCA
Application
Conclusion