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Comparing Classical and Robust Sparse PCA

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Synergies of Soft Computing and Statistics for Intelligent Data Analysis, volume 190 of Advances in Intelligent Systems and Computing, Springer Berlin Heidelberg, (2013)
DOI: 10.1007/978-3-642-33042-1_31

Abstract

The main drawback of principal component analysis (PCA) especially for applications in high dimensions is that the extracted components are linear combinations of all input variables. To facilitate the interpretability of PCA various sparse methods have been proposed recently. However all these methods might suffer from the influence of outliers present in the data. An algorithm to compute sparse and robust PCA was recently proposed by Croux

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