rrcov (version 0.4-08)

CovRobust: Robust Location and Scatter Estimation

Description

Computes a robust multivariate location and scatter estimate with a high breakdown point, using one of the abailable estimators.

Usage

CovRobust(x, control, na.action = na.fail)

Arguments

x

a matrix or data frame.

control

a control object (S4) of one of the available control classes, e.g. CovControlMcd-class, CovControlOgk-class,

na.action

A function to specify the action to be taken if missing values are found. The default action is for the procedure to fail. An alternative is na.omit, which leads to rejection of cases with missing values on any required variable.

Value

• An object derived from a CovRobust object, depending on the selected estimator.

Details

This function simply calls the estimate methd of the control object control. If a character string naming an estimator is specified, a new control object will be created and used. If this argument is missing or 'auto' is specified, the function will select the robust estimator (see also covRob). If there are less than 1000 observations and less than 10 variables or less than 5000 observations and less than 5 variables, S estimates computed by the sfast will be used (since the Donoho-Stahel estimator is not yet implemented). If there are less than 50000 observations and less than 20 variables then the MCD is used. Otherwise the Orthogonalized Quadrant Correlation estimator (CovOgk with the corresponding parameters) is used.

Examples

data(hbk)
hbk.x <- data.matrix(hbk[, 1:3])
CovRobust(hbk.x)
CovRobust(hbk.x, CovControlSest(method="bisquare"))