What Happens If in the Principal Component Analysis the Pearsonian is Replaced by the Brownian Coefficient of Correlation?

38 Pages Posted: 1 Jun 2014 Last revised: 22 Jun 2014

Sudhanshu K. Mishra

North-Eastern Hill University (NEHU)

Date Written: May 29, 2014

Abstract

The Brownian correlation has been recently introduced by Székely et al. (2007; 2009), which has an attractive property that when it is zero, it guarantees independence. This paper investigates into the effects and advantages, if any, of replacement of the Pearsonian coefficient of correlation (r) by the Brownian coefficient of correlation (say, ρ), other things remaining the same. Such a replacement and analysis of its effects have been made by the Host-Parasite Coevolutionary algorithm of global optimization applied on six datasets.

Keywords: Brownian correlation, Principal Component Analysis, Global Optimization, Host-Parasite Coevolutionary algorithm, Iris Flower Dataset, 1985 Auto Imports Database, Levy distribution, outliers

JEL Classification: C13, C43, C45, C61, C63, C87

Suggested Citation

Mishra, Sudhanshu K., What Happens If in the Principal Component Analysis the Pearsonian is Replaced by the Brownian Coefficient of Correlation? (May 29, 2014). Available at SSRN: https://ssrn.com/abstract=2443362 or http://dx.doi.org/10.2139/ssrn.2443362

Sudhanshu K. Mishra (Contact Author)

North-Eastern Hill University (NEHU) ( email )

NEHU Campus
Shillong, 793022
India
03642550102 (Phone)

HOME PAGE: http://www.nehu-economics.info

Paper statistics

Downloads
52
Rank
313,751
Abstract Views
312