Spatial sign covariance matrix {Rfast}

Spatial sign covariance matrix

Description

Spatial sign covariance matrix.

Usage

sscov(x, me = NULL, tol = 1e-09)

Arguments

x

A matrix with continuous data.

me

If you have already computed the spatial median plug it in here.

tol

A tolerance level to terminate the process of finding the spatial median. This is set to 1e-09 by default.

Details

The spatial median is at first computed (if not supplied) and then the covariance matrix.

Value

The spatial sign covariance matrix.

Author(s)

Michail Tsagris

R implementation and documentation: Michail Tsagris <[e-mail]>.

References

Durre A, Vogel D. and D.E. Tyler D.E.(2014). The spatial sign covariance matrix with unknown location. Journal of Multivariate Analysis, 130: 107-117. http://arxiv.org/pdf/1307.5706v2.pdf

See Also

spat.med, spatmed.reg

Examples

res<-sscov( as.matrix(iris[, 1:4]) )