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Transelliptical Component Analysis
Neural Information Processing Systems
We propose a high dimensional semiparametric scale-invariant principle component analysis, named TCA, by utilize the natural connection between the elliptical distribution family and the principal component analysis. Elliptical distribution family includes many well-known multivariate distributions like multivariate Gaussian, t and logistic and it is extended to the meta-elliptical by Fang et.al (2002) using the copula techniques. In this paper we extend the meta-elliptical distribution familydblp:conf/nips/HanL12a fatcat:3w2owrvzbjghxbg77rrrcwrova