robust (version 0.3-4)

donostah: Donoho-Stahel Covariance Estimation

Description

Compute a robust estimate of location and scale using the Donoho-Stahel projection-bsed estimator.

Usage

donostah(x, control)

Arguments

x

a numeric matrix containing 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

Value

• a list with the following components:
• cov
  a numeric matrix containing the Stahel-Donoho estimate of the covariance/correlation matrix.
• center
  a numeric vector containing the Stahel-Donoho estimate of the location vector.
• dist
  a numeric vector containing the squared Mahalanobis distances.

References

R. A. Maronna and V. J. Yohai (1995) The Behavior of the Stahel-Donoho Robust Multivariate Estimator. Journal of the American Statistical Association 90 (429), 330--341.

Details

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

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See Also

covRob, covRob.control.

Examples

data(woodmod.dat)
  X <- as.matrix(woodmod.dat)
  ds.control <- covRob.control("donostah")
  donostah(X, ds.control)