groc (version 1.0.6)

covrob: Robust covariance measure

Description

Compute robust estimates of the covariance between two variables using the robust tau estimate of univariate scale, as proposed by Maronna and Zamar (2002).

Usage

covrob(t, u)

Arguments

t

a numeric vector containing the data for the fisrt variable.

u

a numeric vector containing the data for the second variable.

Value

Value of the robust covariance.

Details

This function uses the scaleTau2 function from the robustbase package.

References

Maronna, R.A. and Zamar, R.H. (2002) Robust estimates of location and dispersion of high-dimensional datasets; Technometrics 44(4), 307--317.

See Also

corrob, dcov

Examples

# NOT RUN {
data(stackloss)
covrob(stackloss$Air.Flow,stackloss$Water.Temp)
# }