Classical canonical correlation analysis becomes numerically unstable when the number of variables is large relative to the sample size and is sensitive to contamination in observations or individual cells. This study develops an integrated robust and regularized procedure that combines bounded cellwise wrapping, shrinkage estimation of the joint correlation matrix, and robust reweighting in a low-dimensional canonical score space. The resulting observation weights enter a second regularized canonical correlation fit, so the final estimator remains well defined when the combined number of variables exceeds the sample size. The simulation study shows that relative estimation accuracy depends on the signal strength, contamination mechanism, and dimensional configuration. The proposed estimator is competitive in several moderate-signal settings and has a clear computational advantage, whereas the minimum regularized covariance determinant plug-in estimator provides lower estimation error in many high-signal configurations. An additional ultra-high-dimensional experiment demonstrates numerical feasibility with modest memory use but also reveals substantial attenuation, identifying a limitation of the present dense estimator. The results therefore support a regime-dependent interpretation rather than a claim of uniform superiority. The complete reproducible simulation workflow is provided.
In multivariate statistical analysis, accurate modeling of the covariance structure is critical for high-dimensional data analysis, variable selection, and regularization. In high-dimensional settings, strong inter-variable correlation and redundancy are key factors limiting the performance of classical sparsity-based...
Y. Güral, Büşra Ceylan Kuzu, M. Gürcan· Symmetry· 0 citations
In the era of high-dimensional data, the classical assumption that the number of observations n vastly exceeds the number of variables p is frequently violated. When p and n grow proportionally (p/n → c > 0), the sample covariance matrix becomes severely distorted by sampling noise. Its eigenvalues are systematically b...
Innocent Nsabimana· International Journal For Mu...· 0 citations
Classical MANOVA procedures are not directly applicable in high-dimensional settings where the number of variables is comparable to, or exceeds, the sample size, and many existing high-dimensional MANOVA tests remain sensitive to outlying observations. This study proposes a weighted minimum regularized covariance deter...
This paper investigates the asymptotic behavior of the out-of-sample prediction risk of the high-dimensional ridgeless least-squares estimator when the feature dimension $p$ and the sample size $n$ grow proportionally. We consider a generalized spiked population covariance model with multiple latent factors, where the...
We propose computationally efficient tests for equality of mean vectors of two or more high-dimensional populations. Central to our approach is an equivalence between equality of means and a zero population logistic regression parameter. We establish this equivalence for independently distributed observations without i...
In this paper, we study the autocovariance matrix estimation and inference problems under heavy-tailedness, high-dimensionality, general nonlinear temporal dependence, and potentially nonstationarity of time series. We consider two types of tail-robust autocovariance matrix estimation methods: the element-wise Huber's...
Hao-Tian Xu, S. Guerrier, Run-Ze Li et al.· 0 citations
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