covrob {groc} | R Documentation |
Robust covariance measure
Description
Compute robust estimates of the covariance between two variables using the robust tau estimate of univariate scale, as proposed by Maronna and Zamar (2002).
Usage
covrob(t, u)
Arguments
t |
a numeric vector containing the data for the fisrt variable. |
u |
a numeric vector containing the data for the second variable. |
Details
This function uses the scaleTau2
function from the robustbase package.
Value
Value of the robust covariance.
Author(s)
Martin Bilodeau (bilodeau@dms.umontreal.ca) and Pierre Lafaye de Micheaux (lafaye@unsw.edu.au)
References
Maronna, R.A. and Zamar, R.H. (2002) Robust estimates of location and dispersion of high-dimensional datasets; Technometrics 44(4), 307–317.
See Also
Examples
data(stackloss)
covrob(stackloss$Air.Flow,stackloss$Water.Temp)
[Package groc version 1.0.9 Index]