Journal
TECHNOMETRICS
Volume 58, Issue 4, Pages 424-434Publisher
TAYLOR & FRANCIS INC
DOI: 10.1080/00401706.2015.1093962
Keywords
Dimension reduction; Outlier detection; Robustness
Categories
Funding
- Internal Fund of KU Leuven
- IAP Research Network of the Belgian Science Policy [P7/06]
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A new sparse PCA algorithm is presented, which is robust against outliers. The approach is based on the ROBPCA algorithm that generates robust but nonsparse loadings. The construction of the new ROSPCA method is detailed, as well as a selection criterion for the sparsity parameter. An extensive simulation study and a real data example are performed, showing that it is capable of accurately finding the sparse structure of datasets, even when challenging outliers are present. In comparison with a projection pursuit-based algorithm, ROSPCA demonstrates superior robustness properties and comparable sparsity estimation capability, as well as significantly faster computation time.
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