slrt: LRT-based distances between matrices
In GSE: Robust Estimation in the Presence of Cellwise and Casewise Contamination and Missing Data
slrt R Documentation
LRT-based distances between matrices
Description
LRT-distance that we use to evaluate the performance of our covariance
estimates.
Usage
slrt(S, trueS)
Arguments
S
estimated covariance matrix
trueS
true covariance matrix.
Details
Note that this is not actually a distance in a sense that
slrt(M1,M2) != slrt(M2,M1)
Value
scalar LRT-distance
Author(s)
Mike Danilov
References
Seber, G.A. (2004) Multivariate observations, Wiley
Danilov, M. (2010). Robust Estimation of Multivariate Scatter under Non-Affine Equivariant Scenarios. Ph.D. thesis,
Department of Statistics, University of British Columbia.
GSE documentation built on Dec. 28, 2022, 1:31 a.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
| slrt | R Documentation |
LRT-based distances between matrices
Description
LRT-distance that we use to evaluate the performance of our covariance estimates.
Usage
slrt(S, trueS)
Arguments
S |
estimated covariance matrix |
trueS |
true covariance matrix. |
Details
Note that this is not actually a distance in a sense that slrt(M1,M2) != slrt(M2,M1)
Value
scalar LRT-distance
Author(s)
Mike Danilov
References
Seber, G.A. (2004) Multivariate observations, Wiley
Danilov, M. (2010). Robust Estimation of Multivariate Scatter under Non-Affine Equivariant Scenarios. Ph.D. thesis, Department of Statistics, University of British Columbia.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.