R: MM robust multivariate location and scatter estimator

covRobMM {RobStatTM}

R Documentation

MM robust multivariate location and scatter estimator

This function computes an MM robust estimator for multivariate location and scatter with the "SHR" loss function.

covRobMM(X, maxit = 50, tolpar = 1e-04, corr = FALSE)

`X`	a data matrix with observations in rows.
`maxit`	Maximum number of iterations.
`tolpar`	Tolerance to decide converngence.
`corr`	A logical value. If `TRUE` a correlation matrix is included in the element `cor` of the returned object. Defaults to `FALSE`.

This function computes an MM robust estimator for multivariate location and scatter with the "SHR" loss function.

A list with class “covRob” containing the following elements

`center`	The location estimate.
`cov`	The scatter matrix estimate, scaled for consistency at the normal distribution. Same as `V` above.
`cor`	The correlation matrix estimate, if the argument `cor` equals `TRUE`. Otherwise it is set to `NULL`.
`dist`	Robust Mahalanobis distances
`wts`	weights
`call`	an image of the call that produced the object with all the arguments named. The matched call.
`mu`	The location estimate. Same as `center` above.
`V`	The scatter or correlation matrix estimate, scaled for consistency at the normal distribution

data(bus)
X0 <- as.matrix(bus)
X1 <- X0[,-9]
tmp <- covRobMM(X1)
round(tmp$cov[1:10, 1:10], 3)
tmp$mu

[Package RobStatTM version 1.0.8 Index]