RobStatTM (version 1.0.11)

covRobMM: MM robust multivariate location and scatter estimator

Description

This function computes an MM robust estimator for multivariate location and scatter with the "SHR" loss function.

Usage

covRobMM(X, maxit = 50, tolpar = 1e-04, corr = FALSE)

Value

A list with class “covRob” containing the following elements

center

The location estimate.

cov

The scatter matrix estimate, scaled for consistency at the normal distribution. Same as V above.

cor

The correlation matrix estimate, if the argument cor equals TRUE. Otherwise it is set to NULL.

dist

Robust Mahalanobis distances

wts

weights

call

an image of the call that produced the object with all the arguments named. The matched call.

mu

The location estimate. Same as center above.

V

The scatter or correlation matrix estimate, scaled for consistency at the normal distribution

Arguments

X

a data matrix with observations in rows.

maxit

Maximum number of iterations.

tolpar

Tolerance to decide converngence.

corr

A logical value. If TRUE a correlation matrix is included in the element cor of the returned object. Defaults to FALSE.

Author

Ricardo Maronna,

Details

This function computes an MM robust estimator for multivariate location and scatter with the "SHR" loss function.

References

http://www.wiley.com/go/maronna/robust

Examples

data(bus)
X0 <- as.matrix(bus)
X1 <- X0[,-9]
tmp <- covRobMM(X1)
round(tmp$cov[1:10, 1:10], 3)
tmp$mu