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Robust covariance estimate [message #94289]

Tue, 28 March 2017 12:19

natha
Messages: 482
Registered: October 2007

Senior Member

Hi all,

I am performing a Principal Component Analysis and I would like to use robust computation of the covariance matrix to avoid the outliers affect my results.
I've been reading a little bit about it and it seems that there are many approaches to compute robust covariance estimators.
I didn't find any code for that, only a a Python library which requires the input data matrix to be Gaussian distributed, which is not my case:
http://scikit-learn.org/stable/auto_examples/covariance/plot _robust_vs_empirical_covariance.html

Any ideas or suggestions?
Thanks in advance for your help,
nata

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		Robust covariance estimate By: natha on Tue, 28 March 2017 12:19
		Re: Robust covariance estimate By: wlandsman on Tue, 28 March 2017 13:04

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