Robust estimation in canonical correlation analysis for multivariate functional data

Authors : Mirosław Krzyśko, Łukasz Smaga

Pages : 521-535

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Publication Date : 2019-04-01

Article Type : Research

Abstract :In this paper, the canonical correlation analysis for multivariate functional data is considered. The analysis is based on the basis functions representation of the data. The use of non-orthogonal bases is available in contrast to the approach given in the literature. The robust estimation methods of the covariance matrix are also studied in the multivariate functional canonical correlation analysis. Simulation studies and breakdown analysis suggest that the proposed methods may perform better than the classical estimator under non-normal models and in the presence of outlying observations.
Keywords : Basis functions representation, Canonical correlation, Functional data analysis, Multivariate analysis, Robust covariance estimation