rrcov (version 0.4-01)

CovControlOgk: Constructor function for objects of class "CovControlOgk"

Description

This function will create a control object CovControlOgk containing the control parameters for CovOgk

Usage

CovControlOgk(niter = 2, beta = 0.9, mrob = rrcov:::.mrobTau, vrob = rrcov:::.vrobGK)

Arguments

niter

number of iterations, usually 1 or 2 since iterations beyond the second do not lead to improvement.

beta

coverage parameter for the final reweighted estimate

mrob

function for computing the robust univariate location and dispersion - defaults to the tau scale defined in Yohai and Zamar (1998)

vrob

function for computing robust estimate of covariance between two random vectors - defaults the one proposed by Gnanadesikan and Kettenring (1972)

Value

• A CovControlMcd object

References

Maronna, R.A. and Zamar, R.H. (2002) Robust estimates of location and dispersion of high-dimensional datasets; Technometrics 44(4), 307--317. Yohai, R.A. and Zamar, R.H. (1998) High breakdown point estimates of regression by means of the minimization of efficient scale JASA 86, 403--413. Gnanadesikan, R. and John R. Kettenring (1972) Robust estimates, residuals, and outlier detection with multiresponse data. Biometrics 28, 81--124.

Examples

## the following two statements are equivalent
    ctrl1 <- new("CovControlOgk", beta=0.95)
    ctrl2 <- CovControlOgk(beta=0.95)

    data(hbk)
    CovOgk(hbk, control=ctrl1)