When there are 3 or more variables in the data, this function produces a matrix with overlaid ellipses drawn in the upper triangle. The main use case is a sample covariance estimator and a robust covariance matrix estimator, so two overlaid ellipses. The ellipses in cell i,j of the plot is drawn to be a contour of a standard bivariate normal density with correlation `rho(i,j)`. Two ellipses are drawn in each cell, one for the sample covariance matrix estimate and one for the robust covariance matrix estimate. When there are only 2 variables in the data, this function produces a scatter plot of the data with overlaid 95 robust covariance matrix estimates in the `covfm` object. The lower triangle displays the sample correlation estimate value in red font, and robust correlation estimate in black font.
ellipsesPlotPCRA.covfm(x, ...)x is invisibly returned
a `covfm` object
additional arguments are ignored.
The original version `ellipsesPlot.covfm was wirtten by Kjell Konis for the `fit.models` package. This version, modified by Doug Martin, uses thicker lines for the ellipses, with red color for the sample correlation and black for the robust correlation, for a better overall visual display.