RobStatTM (version 1.0.2)

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, cor = FALSE)

Arguments

X

a data matrix with observations in rows.

maxit

Maximum number of iterations.

tolpar

Tolerance to decide converngence.

cor

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

Value

A list with class “covRob” containing the following elements

mu

The location estimate

V

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

center

The location estimate. Same as mu above.

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.

dista

Robust Mahalanobis distances

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

# NOT RUN {
data(bus)
X0 <- as.matrix(bus)
X1 <- X0[,-9]
tmp <- covRobMM(X1)
round(tmp$cov[1:10, 1:10], 3)
tmp$mu

# }