robust (version 0.3-0)

rockem: Contrained M-estimation

Description

Compute a robust estimate of location and scatter using Rocke's contrained M-estimator.

Usage

rockem(x, control)

Arguments

x

a numeric matrix contraining the data.

control

a list of control parameters. The utility function covRob.control creates a list of the control parameters and their default values. See details for the required control parameters and their default values.

Value

• a list with the following components:
• call
  an image of the call that produced the object with all the arguments named.
• cov
  a numeric matrix containing the constrained M-estimate of the covariance/correlation matrix.
• center
  a numeric vector containing the constrained M-estimate of the location vector.
• raw.cov
  a numeric matrix containing the initial robust estimate of the covariance/correlation matrix.
• raw.center
  a numeric vector containing the initial robust estimate of the location vector.

References

David M. Rocke (1996). Robustness properties of S-estimators of multivariate location and shape in high dimension. Annals of Statistics, Vol. 24, No. 3, 1327-1345.

Details

This function is called by the high-level function covRob when the M-estimator is specified (via the optional argument estim = "m"). It may also be of interest to power users who want to compute a constrained m-estimate with a minimum of fuss.

The required control parameters and their default values are:

[object Object],[object Object]

The control parameters quan and ntrial are passed to the function fastmcd which computes the initial robust estimate. The remaining parameters affect the constrained m-estimator.

[object Object],[object Object],[object Object],[object Object],[object Object]

See Also

covRob, covRob.control.

Examples

data(woodmod.dat)
  X <- as.matrix(woodmod.dat)
  m.control <- covRob.control("m")
  rockem(X, m.control)