Estimates the scatter matrix based on the 4th moments of the data.
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X |
numeric data matrix or dataframe, missing values are not allowed. |
location |
can be either |
na.action |
a function which indicates what should happen when the data contain 'NA's. Default is to fail. |
If location is Mean
the scatter matrix of 4th moments is computed wrt to the sample mean.
For location = Origin
it is the scatter matrix of 4th moments wrt to the origin.
The scatter matrix is standardized in such a way to be consistent for the regular covariance matrix at the multinormal model.
It is given for n x p matrix X by
1/(p+2) ave{[(x_i-x_bar)S^{-1}(x_i-x_bar)'] (x_i-x_bar)'(x_i-x_bar)},
where x_bar is the mean vector and S the regular covariance matrix.
A matrix.
Klaus Nordhausen
Cardoso, J.F. (1989), Source separation using higher order moments, in Proc. IEEE Conf. on Acoustics, Speech and Signal Processing (ICASSP'89), 2109–2112. <doi:10.1109/ICASSP.1989.266878>.
Oja, H., Sirkiä, S. and Eriksson, J. (2006), Scatter matrices and independent component analysis, Austrian Journal of Statistics, 35, 175–189.
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