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On robust bivariate and multivariate correlation coefficient


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


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.

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Additional Metadata

Item Type: Article
Divisions: Faculty of Science
DOI Number: https://doi.org/10.24818/18423264/
Publisher: Editura Academia de studii economice
Keywords: Robust correlation; RFCH; Winsorization; Outliers; MCD; MVE
Depositing User: Ms. Nida Hidayati Ghazali
Date Deposited: 07 May 2021 23:44
Last Modified: 07 May 2021 23:44
Altmetrics: http://www.altmetric.com/details.php?domain=psasir.upm.edu.my&doi=10.24818/18423264/
URI: http://psasir.upm.edu.my/id/eprint/81533
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