R: Rocke's robust multivariate location and scatter estimator

covRobRocke {RobStatTM}

R Documentation

Rocke's robust multivariate location and scatter estimator

This function computes Rocke's robust estimator for multivariate location and scatter.

covRobRocke(
  X,
  initial = "K",
  maxsteps = 5,
  propmin = 2,
  qs = 2,
  maxit = 50,
  tol = 1e-04,
  corr = FALSE
)

`X`	a data matrix with observations in rows.
`initial`	A character indicating the initial estimator. Valid options are 'K' (default) for the Pena-Prieto 'KSD' estimate, and 'mve' for the Minimum Volume Ellipsoid.
`maxsteps`	Maximum number of steps for the line search section of the algorithm.
`propmin`	Regulates the proportion of weights computed from the initial estimator that will be different from zero. The number of observations with initial non-zero weights will be at least p (the number of columns of X) times propmin.
`qs`	Tuning paramater for Rocke's loss functions.
`maxit`	Maximum number of iterations.
`tol`	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 Rocke's robust estimator for multivariate location and scatter.

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.
`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. Same as `cov` above.
`sig`	sig
`gamma`	Final value of the constant gamma that regulates the efficiency.

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

[Package RobStatTM version 1.0.8 Index]