cauchy.mle

MLE of the Cauchy distribution

A new robust principal component analysis algorithm is implemented that relies upon the Cauchy Distribution. The algorithm is suitable for high dimensional data even if the sample size is less than the number of variables. The methodology is described in this paper: Fayomi A., Pantazis Y., Tsagris M. and Wood A.T.A. (2024). "Cauchy robust principal component analysis with applications to high-dimensional data sets". Statistics and Computing, 34: 26. <doi:10.1007/s11222-023-10328-x>.

Michail Tsagris

cauchypca

Robust Principal Component Analysis Using the Cauchy
Distribution

Aisha Fayomi

Yannis Pantazis

Andrew T.A. Wood

MLE of the Cauchy distribution function

<dl><dt>x</dt>
<dd>A numerical vector with data.</dd><dt>tol</dt>
<dd>The tolerance level up to which the maximisation stops set to 1e-09 by default.</dd></dl>

Arguments

Michail Tsagris
R implementation and documentation: Michail Tsagris &lt;mtsagris@uoc.gr&gt;.

Author

MLE of the Cauchy distribution — MLE of the Cauchy distribution

<dl>

<dt>x</dt>
<dd>A numerical vector with data.</dd>

<dt>tol</dt>
<dd>The tolerance level up to which the maximisation stops set to 1e-09 by default.</dd>

</dl>

MLE of the Cauchy distribution: MLE of the Cauchy distribution

Description

Usage

Value

Arguments

Author

Details

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Examples