Robust sparse canonical correlation analysis

Canonical correlation analysis (CCA) is a multivariate statistical method which describes the associations between two sets of variables. The objective is to find linear combinations of the variables in each data set having maximal correlation. In genomics, CCA has become increasingly important to estimate the associations between gene expression data and DNA copy number change data. The identification of such associations might help to increase our understanding of the development of diseases such as cancer. However, these data sets are typically high-dimensional, containing a lot of variables relative to the number of objects. Moreover, the data sets might contain atypical observations since it is likely that objects react differently to treatments. We discuss a method for Robust Sparse CCA, thereby providing a solution to both issues. Sparse estimation produces canonical vectors with some of their elements estimated as exactly zero. As such, their interpretability is improved. Robust methods can cope with atypical observations in the data.We illustrate the good performance of the Robust Sparse CCA method by several simulation studies and three biometric examples. Robust Sparse CCA considerably outperforms its main alternatives in (1) correctly detecting the main associations between the data sets, in (2) accurately estimating these associations, and in (3) detecting outliers.Robust Sparse CCA delivers interpretable canonical vectors, while at the same time coping with outlying observations. The proposed method is able to describe the associations between high-dimensional data sets, which are nowadays commonplace in genomics. Furthermore, the Robust Sparse CCA method allows to characterize outliers.