CMStatistics 2021: Start Registration
View Submission - CMStatistics
Title: New algorithms for implementing invariant component selection Authors:  Aurore Archimbaud - Toulouse School of Economics (France) [presenting]
Zlatko Drmac - University of Zagreb (Croatia)
Klaus Nordhausen - University of Jyvaskyla (Finland)
Una Radojicic - Technical University of Vienna (Austria)
Anne Ruiz-Gazen - Toulouse School of Economics (France)
Abstract: ICS (Invariant Component Selection) is a method for multivariate analysis based on the joint diagonalization of two scatter matrices. In the statistics literature, it is usually just stated that it can be solved as a generalized eigenvalue-eigenvector problem and little details about the actual computations are given. Some implementations in R are for example in the R packages ICS and ICtest. However, the existing functions do not take into account singular or nearly singular scatter matrices. In particular, in the case of nearly singular matrices, the existing algorithms do work but may encounter numerical instability. The aim is to propose alternative implementations of ICS and compare them to the existing ones.