medmad.cov: Function for robust covariance matrix estimation.

In galts: Genetic Algorithms and C-Steps Based LTS (Least Trimmed Squares) Estimation

Function for robust covariance matrix estimation.

Description

Function for robust covariance matrix estimation.

Usage

medmad.cov(data)

Arguments

data	Row matrix of data

Value

varcov

Covariance matrix

Author(s)

Mehmet Hakan Satman

Examples

	n <- 100
	c <- 0.20
	h <- n - n*c
	x1 <- rnorm(n,0,10)
	x2 <- rnorm(n,0,10)
	x3 <- rnorm(n,0,10)
	x4 <- rnorm(n,0,10)
	x1[(h + 1):n]<-rnorm(n-h, 100, 10)
	x2[(h + 1):n]<-rnorm(n-h, 100, 10)
	x3[(h + 1):n]<-rnorm(n-h, 100, 10)
	x4[(h + 1):n]<-rnorm(n-h, 100, 10)
	mat <- medmad.cov(cbind(x1, x2, x3, x4))
	print (mat)

galts documentation built on Aug. 20, 2023, 9:08 a.m.