CovControlMrcd-class {rrcov}

Class 'CovControlMrcd' - contains control parameters for CovMrcd()

Description

This class extends the CovControl class and contains the control parameters for "CovMrcd"

Objects from the Class

Objects can be created by calls of the form new("CovControlMrcd", ...) or by calling the constructor-function CovControlMrcd.

Slots

alpha:

numeric parameter controlling the size of the subsets over which the determinant is minimized, i.e., alpha*n observations are used for computing the determinant. Allowed values are between 0.5 and 1 and the default is 0.5.

h

the size of the subset (can be between ceiling(n/2) and n). Normally NULL and then it h will be calculated as h=ceiling(alpha*n). If h is provided, alpha will be calculated as alpha=h/n.

maxcsteps

maximal number of concentration steps in the deterministic MCD; should not be reached.

rho

regularization parameter. Normally NULL and will be estimated from the data.

target

structure of the robust positive definite target matrix: a) "identity": target matrix is diagonal matrix with robustly estimated univariate scales on the diagonal or b) "equicorrelation": non-diagonal target matrix that incorporates an equicorrelation structure (see (17) in paper).

maxcond

maximum condition number allowed (see step 3.4 in algorithm 1).

trace, tolSolve:

from the "CovControl" class.

Extends

Class "CovControl", directly.

Methods

restimate

signature(obj = "CovControlMrcd"): the generic function restimate allows the different methods for robust estimation to be used polymorphically - this function will call CovMrcd passing it the control object and will return the obtained CovRobust object

Author(s)

Valentin Todorov [e-mail]

References

Todorov V & Filzmoser P (2009), An Object Oriented Framework for Robust Multivariate Analysis. Journal of Statistical Software, 32(3), 1–47. doi:10.18637/jss.v032.i03.

See Also

"CovControlMcd"

Examples

    ## the following two statements are equivalent
    ctrl1 <- new("CovControlMrcd", alpha=0.75)
    ctrl2 <- CovControlMrcd(alpha=0.75)

    data(hbk)
    CovMrcd(hbk, control=ctrl1)