Spatial sign covariance matrix

Description

Spatial sign covariance matrix.

Usage

1
sscov(x, me = NULL, tol = 1e-09)

Arguments

x

A matrix with continuous data.

me

If you have already computed the spatial median plug it in here.

tol

A tolerance level to terminate the process of finding the spatial median. This is set to 1e-09 by default.

Details

The spatial median is at first computed (if not supplied) and then the covariance matrix. This is used in the function comp.den.

Value

The spatial sign covariance matrix.

Author(s)

Michail Tsagris

R implementation and documentation: Michail Tsagris <mtsagris@yahoo.gr> and Giorgos Athineou <athineou@csd.uoc.gr>

References

A Durre, D Vogel, DE Tyler (2014). The spatial sign covariance matrix with unknown location. Journal of Multivariate Analysis, 130: 107-117. http://arxiv.org/pdf/1307.5706v2.pdf

See Also

spat.med, comp.den

Examples

1
2
library(MASS)
sscov(iris[, 1:4])

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