View source: R/dependencemeasures.R
covrob | R Documentation |
Compute robust estimates of the covariance between two variables using the robust tau estimate of univariate scale, as proposed by Maronna and Zamar (2002).
covrob(t, u)
t |
a numeric vector containing the data for the fisrt variable. |
u |
a numeric vector containing the data for the second variable. |
This function uses the scaleTau2
function from the robustbase package.
Value of the robust covariance.
Martin Bilodeau (bilodeau@dms.umontreal.ca) and Pierre Lafaye de Micheaux (lafaye@unsw.edu.au)
Maronna, R.A. and Zamar, R.H. (2002) Robust estimates of location and dispersion of high-dimensional datasets; Technometrics 44(4), 307–317.
corrob
, dcov
data(stackloss)
covrob(stackloss$Air.Flow,stackloss$Water.Temp)
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