covrob: Robust covariance measure

In groc: Generalized Regression on Orthogonal Components

Description

Compute robust estimates of the covariance between two variables using the robust tau estimate of univariate scale, as proposed by Maronna and Zamar (2002).

Usage

covrob(t, u)

Arguments

t	a numeric vector containing the data for the fisrt variable.
u	a numeric vector containing the data for the second variable.

Details

This function uses the scaleTau2 function from the robustbase package.

Value

Value of the robust covariance.

Author(s)

Martin Bilodeau ([e-mail]) and Pierre Lafaye de Micheaux ([e-mail])

References

Maronna, R.A. and Zamar, R.H. (2002) Robust estimates of location and dispersion of high-dimensional datasets; Technometrics 44(4), 307–317.

See Also

corrob, dcov

Examples

data(stackloss)
covrob(stackloss$Air.Flow,stackloss$Water.Temp)

Example output

Loading required package: rrcov
Loading required package: robustbase
Scalable Robust Estimators with High Breakdown Point (version 1.5-5)

[1] 24.77755

groc documentation built on Dec. 18, 2020, 9:07 a.m.