robustbase (version 0.92-5)

covComed: Co-Median Location and Scatter "Covariance" Estimator

Description

Compute (versions of) the (multivariate) Comedian covariance, i.e., multivariate location and scatter estimator

Usage

covComed(X, n.iter = 2, reweight = FALSE, tolSolve = control$tolSolve,
         trace = control$trace, wgtFUN = control$wgtFUN,
         control = rrcov.control())

Arguments

X

data matrix of dimension, say $n \times p$.

n.iter

number of comedian() iterations. Can be as low as zero.

reweight

logical indicating if the final distances and weights should be recomuted from the final cov and center. The default is currently FALSE because that was implicit in the first version of the Rcode.

tolSolve

a numerical tolerance passed to solve.

trace

logical (or integer) indicating if intermediate results should be printed; defaults to FALSE; values $\ge 2$ also produce print from the internal (Fortran) code.

wgtFUN

a character string or function, specifying how the weights for the reweighting step should be computed. The default, wgtFUN = "01.original" corresponds to 0-1 weights as proposed

control

a list with estimation options - this includes those above provided in the function specification, see rrcov.control for the defaults. If control is supplied, the parameters

Value

• an object of class "covComed" which is basically a list with components
• comp1
  Description of 'comp1'
• comp2
  Description of 'comp2'
• ... FIXME ...

concept

• Co-median
• Comedian

Details

.. not yet ..

References

Falk, M. (1997) On mad and comedians. Annals of the Institute of Statistical Mathematics 49, 615--644.

Falk, M. (1998). A note on the comedian for elliptical distributions. Journal of Multivariate Analysis 67, 306--317.

See Also

covMcd, etc

Examples

data(hbk)
hbk.x <- data.matrix(hbk[, 1:3])
(cc1 <- covComed(hbk.x))
(ccW <- covComed(hbk.x, reweight=TRUE))
cc0  <- covComed(hbk.x, n.iter=0)
cc0W <- covComed(hbk.x, n.iter=0, reweight=TRUE)

stopifnot(all.equal(unclass(cc0), # here, the 0-1 weights don't change:
                    cc0W[names(cc0)], tol=1e-12),
          which(cc1$weights == 0) == 1:14,
          which(ccW$weights == 0) == 1:14,
          which(cc0$weights == 0) == 1:14)
## Martin's smooth reweighting:

## List of experimental pre-specified wgtFUN() creators:
## Cutoffs may depend on  (n, p, control$beta) :
str(.wgtFUN.covComed)