This function uses a fast algorithm to compute the Minimum Volume
Ellipsoid (MVE) for multivariate location and scatter.
Usage
fastmve(x, nsamp = 500)
Value
A list with the following components:
center
a vector with the robust multivariate location estimate
cov
a matrix with the robust covariance / scatter matrix estimate
scale
A scalar that equals the median of the mahalanobis distances of the
data to the center, multiplied by the determinant of the covariance matrix
to the power 1/p
best
Indices of the observations that correspond to the MVE estimator
nsamp
Number of random starts used for the iterative algorithm
nsing
Number of random subsamples (among the nsamp attempted)
that failed (resulting in singular initial values)
Arguments
x
data matrix (n x p) with cases stored in rows.
nsamp
number of random starts for the iterative algorithm, these
are constructed using subsamples of the data.
This function computes the Minimum Volume
Ellipsoid (MVE) for multivariate location and scatter, using a
fast algorithm related to the fast algorithm for S-regression
estimators (see lmrob).