# RockeMulti: Rocke's robust multivariate location and scatter estimator In RobStatTM: Robust Statistics: Theory and Methods

 covRobRocke R Documentation

## 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, rmaronna@retina.ar

### 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 April 19, 2022, 1:05 a.m.