Robust correlation coefficient

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1 total messages Started by Veli Matti Suppola Sat, 09 Jan 1993 03:15

#842

Author: Veli Matti Suppola
Date: Sat, 09 Jan 1993 03:15

30 lines
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Hi!

I'm interested in robust correlation coefficients.

I will examine traditional correlation coefficients (Pearson,
Spearman, Kendall). These correlation coefficients are
sufficiently robust against a substantial number of outliers.
That is, they do not have high breakdown points.

I will try to find new correlation coefficients that have higher
breakdown points. I have found two 'new' coefficient but the more
the better. I will compare these coefficients through simulation
and try to find the best.

Robust correlation coefficients I have found:
   *Least Median of Squares (Abdullah 1990)
   *The Greatest Correlation Coefficient (Gideon 1987)

I don't have enough material to examine different robust
correlation coefficients. So, if You know some elementary
books about this area, please let me know. All types of
articles about this area are very welcome.

The second problem is that there are no programs, algorithms 
or statistical packages that can create robust correlation
coefficients. So I have to make these programs by myself. If
You know any programs or algorithms about this area, please
let me know.

Veli-Matti Suppola   vms@jyu.fi

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