robcor {robcor}

Robust Pairwise Correlations.

Description

Compute a robust estimate of the correlation coefficient or correlation matrix via pairwise correlations.

Usage

robcor(x, y = NULL, method = c("ssd", "quadrant", "mcd"), partial = FALSE,
       post = "psdcor", scaler = "s_FastQn", regress = "lmrob")

Arguments

x

a numeric vector, matrix or data frame.

y

NULL (default) or a vector, matrix or data frame with compatible dimensions to x. The default is equivalent to y = x (but more efficient).

method

a character string indicating which correlation coefficient is to be computed.

partial

logical. Should a partial correlation algorithm be used?

post

function to apply after the matrix is built or NULL. By default, positive semidefinite correction is applied (psdcor()).

scaler

function to use as a location-scale estimator in "ssd" method. By default, s_FastQn() is used.

regress

function to use as a regression estimator in partial correlations algorithm. By default, lmrob() is used.

Details

This function is a robust replacement for cor().

Note, that implementation and documentation is not finished/polished yet.

Value

Either a single correlation coefficient or a correlation matrix estimate.

Note

WORK-IN-PROGRESS status.

Author(s)

Paul Smirnov <[e-mail]>

References

Shevlyakov, G. L., Smirnov, P. O. (2011). Robust Estimation of the Correlation Coefficient: An Attempt of Survey. Austrian Journal of Statistics, 40(1&2), 147-156.