Numerical Considerations and a new implementation for invariant coordinate selection

DOI10.1137/22M1498759WikidataQ122259865 ScholiaQ122259865MaRDI QIDQ5885834

Anne Ruiz-Gazen, Klaus Nordhausen, Zlatko Drmač, Aurore Archimbaud, Una Radojičić

Publication date: 30 March 2023

Published in: SIAM Journal on Mathematics of Data Science (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2207.02131

zbMATH Keywords

dimension reductionQR factorizationpivotinginvariant coordinate selectionone-step M-estimatorsscatter matrices

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Multivariate analysis (62H99) Software, source code, etc. for problems pertaining to statistics (62-04) Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Applications of statistics (62P99) Complexity and performance of numerical algorithms (65Y20)

Uses Software

• R
• ICS
• ICSOutlier

Cites Work

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• On the usage of joint diagonalization in multivariate statistics
• Some theoretical properties of two kurtosis matrices, with application to invariant coordinate selection
• Handbook series linear algebra. Linear least squares solutions by Householder transformations
• SYMMETRIC GAUGE FUNCTIONS AND UNITARILY INVARIANT NORMS
• A cautionary note on robust covariance plug-in methods
• Numerical Solution of the Stable, Non-negative Definite Lyapunov Equation Lyapunov Equation
• Stable Finite Elements for Problems with Wild Coefficients
• Non-Gaussian Component Analysis: Testing the Dimension of the Signal Subspace
• Classification and Generalized Principal Component Analysis
• Multivariate Models and the First Four Moments
• On Invariant Coordinate System (ICS) Functionals

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