Robustifying multiple-set linear canonical analysis with S-estimator

10/19/2019

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by   Ulrich Djemby Bivigou, et al.

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We consider a robust version of multiple-set linear canonical analysis obtained by using a S-estimator of covariance operator. The related influence functions are derived. Asymptotic properties of this robust method are obtained and a robust test for mutual non-correlation is introduced.