RockeMulti: Rocke's robust multivariate location and scatter estimator

In RobStatTM: Robust Statistics: Theory and Methods

Rocke's robust multivariate location and scatter estimator

Description

This function computes Rocke's robust estimator for multivariate location and scatter.

Usage

covRobRocke(
  X,
  initial = "K",
  maxsteps = 5,
  propmin = 2,
  qs = 2,
  maxit = 50,
  tol = 1e-04,
  corr = FALSE
)

Arguments

X	a data matrix with observations in rows.
initial	A character indicating the initial estimator. Valid options are 'K' (default) for the Pena-Prieto 'KSD' estimate, and 'mve' for the Minimum Volume Ellipsoid.
maxsteps	Maximum number of steps for the line search section of the algorithm.
propmin	Regulates the proportion of weights computed from the initial estimator that will be different from zero. The number of observations with initial non-zero weights will be at least p (the number of columns of X) times propmin.
qs	Tuning paramater for Rocke's loss functions.
maxit	Maximum number of iterations.
tol	Tolerance to decide converngence.
corr	A logical value. If TRUE a correlation matrix is included in the element cor of the returned object. Defaults to FALSE.

Details

This function computes Rocke's robust estimator for multivariate location and scatter.

Value

A list with class “covRob” containing the following elements:

center	The location estimate.
cov	The scatter matrix estimate, scaled for consistency at the normal distribution.
cor	The correlation matrix estimate, if the argument cor equals TRUE. Otherwise it is set to NULL.
dist	Robust Mahalanobis distances.
wts	weights
call	an image of the call that produced the object with all the arguments named. The matched call.
mu	The location estimate. Same as center above.
V	The scatter (or correlation) matrix estimate, scaled for consistency at the normal distribution. Same as cov above.
sig	sig
gamma	Final value of the constant gamma that regulates the efficiency.

Author(s)

Ricardo Maronna, [e-mail]

References

http://www.wiley.com/go/maronna/robust

Examples

data(bus)
X0 <- as.matrix(bus)
X1 <- X0[,-9]
tmp <- covRobRocke(X1)
round(tmp$cov[1:10, 1:10], 3)
tmp$mu

RobStatTM documentation built on Nov. 28, 2023, 1:11 a.m.