rrcov (version 1.3-8)

CovRobust: Robust Location and Scatter Estimation

Description

Computes a robust multivariate location and scatter estimate with a high breakdown point, using one of the available estimators.

Usage

CovRobust(x, control, na.action = na.fail)

Arguments

x

a matrix or data frame.

control

a control object (S4) for one of the available control classes, e.g. CovControlMcd-class, CovControlOgk-class,

na.action

A function to specify the action to be taken if missing values are found. The default action is for the procedure to fail. An alternative is na.omit, which leads to rejection of cases with missing values on any required variable.

Value

• An object derived from a CovRobust object, depending on the selected estimator.

Details

This function simply calls the restimate method of the control object control. If a character string naming an estimator is specified, a new control object will be created and used (with default estimation options). If this argument is missing or a character string 'auto' is specified, the function will select the robust estimator according to the size of the dataset. If there are less than 1000 observations and less than 10 variables or less than 5000 observations and less than 5 variables, Stahel-Donoho estimator will be used. Otherwise, if there are less than 50000 observations either bisquare S-estimates (for less than 10 variables) or Rocke type S-estimates (for 10 to 20 variables) will be used. In both cases the S iteration starts at the initial MVE estimate. And finally, if there are more than 50000 observations and/or more than 20 variables the Orthogonalized Quadrant Correlation estimator (CovOgk with the corresponding parameters) is used.

References

Todorov V & Filzmoser P (2009), An Object Oriented Framework for Robust Multivariate Analysis. Journal of Statistical Software, 32(3), 1--47. URL http://www.jstatsoft.org/v32/i03/.

Examples

data(hbk)
hbk.x <- data.matrix(hbk[, 1:3])
CovRobust(hbk.x)
CovRobust(hbk.x, CovControlSest(method="bisquare"))