Robust Methods for Canonical Correlation Analysis

Canonical correlation analysis studies associations between two sets of random variables. Its standard computation is based on sample covariance matrices, which are however very sensitive to outlying observations. In this note we introduce, discuss and compare four different ways for performing a robust canonical correlation analysis. One method uses robust estimators of the involved covariance matrices, another one uses the signs of the observations, a third approach is based on projection pursuit, and finally an alternating regression algorithm for canonical analysis is proposed.