galts (version 1.3.2)

medmad.cov: Function for robust covariance matrix estimation.

Description

Function for robust covariance matrix estimation.

Usage

medmad.cov(data)

Value

varcov

Covariance matrix

Arguments

data

Row matrix of data

Author

Mehmet Hakan Satman

Examples

	n <- 100
	c <- 0.20
	h <- n - n*c
	x1 <- rnorm(n,0,10)
	x2 <- rnorm(n,0,10)
	x3 <- rnorm(n,0,10)
	x4 <- rnorm(n,0,10)
	x1[(h + 1):n]<-rnorm(n-h, 100, 10)
	x2[(h + 1):n]<-rnorm(n-h, 100, 10)
	x3[(h + 1):n]<-rnorm(n-h, 100, 10)
	x4[(h + 1):n]<-rnorm(n-h, 100, 10)
	mat <- medmad.cov(cbind(x1, x2, x3, x4))
	print (mat)