cov_Huber {robmed} | R Documentation |
Huber M-estimator of location and scatter
Description
Compute a Huber M-estimator of location and scatter, which is reasonably robust for a small number of variables.
Usage
cov_Huber(x, control = cov_control(...), ...)
Arguments
x |
a numeric matrix or data frame. |
control |
a list of tuning parameters as generated by
|
... |
additional arguments can be used to specify tuning parameters
directly instead of via |
Details
An iterative reweighting algorithm is used to compute the Huber M-estimator. The Huber weight function thereby corresponds to a convex optimization problem, resulting in a unique solution.
Value
An object of class "cov_Huber"
with the following components:
center |
a numeric vector containing the location vector estimate. |
cov |
a numeric matrix containing the scatter matrix estimate. |
prob |
numeric; probability for the quantile of the
|
weights |
a numeric vector containing the relative robustness weights for the observations. |
tau |
numeric; correction for Fisher consistency under multivariate normal distributions. |
converged |
a logical indicating whether the iterative reweighting algorithm converged. |
iterations |
an integer giving the number of iterations required to obtain the solution. |
Author(s)
Andreas Alfons
References
Huber, P.J. (1981) Robust Statistics. John Wiley & Sons.
Zu, J. and Yuan, K.-H. (2010) Local Influence and Robust Procedures for Mediation Analysis. Multivariate Behavioral Research, 45(1), 1–44. doi:10.1080/00273170903504695.
See Also
cov_control()
, test_mediation()
,
fit_mediation()
Examples
data("BSG2014")
# define variables
x <- "ValueDiversity"
y <- "TeamCommitment"
m <- "TaskConflict"
# compute Huber M-estimator
cov_Huber(BSG2014[, c(x, y, m)])