amap (version 0.5-1)

VarRob: Robust variance

Description

Compute a robust variance

Usage

varrob(x,h,D=NULL,kernel="gaussien")
varrobsansC(x,h,D=NULL,kernel="gaussien")

Value

A matrix

Details

U compute robust variance. $U_n^{-1} = S_n^{-1} - 1/h V_n^{-1}$

$$S_n=\frac{\sum_{i=1}^{n}K(||X_i||_{V_n^{-1}}/h)(X_i-\mu_n)(X_i-\mu_n)'}{\sum_{i=1}^nK(||X_i||_{V_n^{-1}}/h)}$$

with $\mu_n$ estimator of the mean. K compute a kernel.

References

H. Caussinus, S. Hakam, A. Ruiz-Gazen Projections r�v�latrices contr�l�es: groupements et structures diverses. 2002, to appear in Rev. Statist. Appli.

See Also

princomp