CovControlSest-class {rrcov}

Class 'CovControlSest' - contains control parameters for "CovSest"

Description

This class extends the CovControl class and contains the control parameters for CovSest

Objects from the Class

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

Slots

bdp

a numeric value specifying the required breakdown point. Allowed values are between (n - p)/(2 * n) and 1 and the default is bdp=0.45.

arp

a numeric value specifying the asympthotic rejection point (for the Rocke type S estimates), i.e. the fraction of points receiving zero weight (see Rocke (1996)). Default is arp=0.1.

eps

a numeric value specifying the relative precision of the solution of the S-estimate (bisquare and Rocke type). Default is to eps=1e-5.

maxiter

maximum number of iterations allowed in the computation of the S-estimate (bisquare and Rocke type). Default is maxiter=120.

nsamp

the number of random subsets considered. Default is nsamp = 500.

seed

starting value for random generator. Default is seed = NULL.

method

Which algorithm to use: 'sfast'=FAST-S, 'surreal'=Ruppert's SURREAL algorithm, 'bisquare'=Bisquare S-estimation with HBDP start or 'rocke' for Rocke type S-estimates

trace, tolSolve:

from the "CovControl" class.

Extends

Class "CovControl", directly.

Methods

restimate

signature(obj = "CovControlSest"): the generic function restimate allowes the different methods for robust estimation to be used polymorphically - this function will call CovSest 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.

Examples

    ## the following two statements are equivalent
    ctrl1 <- new("CovControlSest", bdp=0.4)
    ctrl2 <- CovControlSest(bdp=0.4)

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