Robust Singular Value Decompositions: A New Approach to Projection Pursuit
稳健奇异值分解:投影寻踪的新方法
Robust location and covariance estimators are developed via general M estimation for covariance matrix eigenvectors and eigenvalues. The solution to this GM estimation problem is obtained by transforming it into a series of robust regression problems based on a new algorithm for the singular value decomposition. It is shown here that the singular value decomposition can be represented as an iteration of two steps: a least squares regression fit of the data matrix followed by…