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On robust bivariate and multivariate correlation coefficient

The main purpose of this paper is to formulate a robust correlation coefficient for high dimensional data in the presence of multivariate outliers. The proposed method is compared with the existing robust bivariate correlation based on Adjusted Winsorization data and the well-known Pearson’s correla...

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Main Authors: Uraibi, Hassan Sami, Midi, Habshah
Format: Article
Language:English
Published: Editura Academia de studii economice 2019
Online Access:http://psasir.upm.edu.my/id/eprint/81533/1/ROBUST.pdf
http://psasir.upm.edu.my/id/eprint/81533/
http://www.ecocyb.ase.ro/Articles2019_2.htm
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spelling my.upm.eprints.815332021-05-07T23:44:56Z http://psasir.upm.edu.my/id/eprint/81533/ On robust bivariate and multivariate correlation coefficient Uraibi, Hassan Sami Midi, Habshah The main purpose of this paper is to formulate a robust correlation coefficient for high dimensional data in the presence of multivariate outliers. The proposed method is compared with the existing robust bivariate correlation based on Adjusted Winsorization data and the well-known Pearson’s correlation coefficient. The performance of our proposed method is investigated using artificial data and simulation study. An important implication of these findings is that the robust correlation based on RFCH estimator is more reliable and more efficient than the existing methods in all type of contamination scenarios. Editura Academia de studii economice 2019 Article PeerReviewed text en http://psasir.upm.edu.my/id/eprint/81533/1/ROBUST.pdf Uraibi, Hassan Sami and Midi, Habshah (2019) On robust bivariate and multivariate correlation coefficient. Economic Computation and Economic Cybernetics Studies and Research, 53 (2). pp. 221-239. ISSN 0585-7511 http://www.ecocyb.ase.ro/Articles2019_2.htm 10.24818/18423264/53.2.19.13
institution Universiti Putra Malaysia
building UPM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Putra Malaysia
content_source UPM Institutional Repository
url_provider http://psasir.upm.edu.my/
language English
description The main purpose of this paper is to formulate a robust correlation coefficient for high dimensional data in the presence of multivariate outliers. The proposed method is compared with the existing robust bivariate correlation based on Adjusted Winsorization data and the well-known Pearson’s correlation coefficient. The performance of our proposed method is investigated using artificial data and simulation study. An important implication of these findings is that the robust correlation based on RFCH estimator is more reliable and more efficient than the existing methods in all type of contamination scenarios.
format Article
author Uraibi, Hassan Sami
Midi, Habshah
spellingShingle Uraibi, Hassan Sami
Midi, Habshah
On robust bivariate and multivariate correlation coefficient
author_facet Uraibi, Hassan Sami
Midi, Habshah
author_sort Uraibi, Hassan Sami
title On robust bivariate and multivariate correlation coefficient
title_short On robust bivariate and multivariate correlation coefficient
title_full On robust bivariate and multivariate correlation coefficient
title_fullStr On robust bivariate and multivariate correlation coefficient
title_full_unstemmed On robust bivariate and multivariate correlation coefficient
title_sort on robust bivariate and multivariate correlation coefficient
publisher Editura Academia de studii economice
publishDate 2019
url http://psasir.upm.edu.my/id/eprint/81533/1/ROBUST.pdf
http://psasir.upm.edu.my/id/eprint/81533/
http://www.ecocyb.ase.ro/Articles2019_2.htm
_version_ 1699238816666091520
score 13.250246

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