Robust Covariance Matrix Estimation with Canonical Correlation Analysis

Jianfeng Zhang, David J. Olive, Ping Ye


This paper gives three easily computed highly outlier resistant robust $\sqrt{n}$ consistent estimators of multivariate location and dispersion for elliptically contoured distributions with fourth moments. When the data is from a multivariate normal distribution, the dispersion estimators are also consistent estimators of the covariance matrix. Outlier detection and robust canonical correlation analysis are presented as applications.

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International Journal of Statistics and Probability   ISSN 1927-7032(Print)   ISSN 1927-7040(Online)

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