Tuning parameters for Huber M-estimation of location and scatter

Description

Obtain a list with tuning paramters for covHuber.

Usage

1
covControl(prob = 0.95, maxIterations = 200, tol = 1e-07)

Arguments

prob

numeric; probability for the quantile of the chi-squared distribution to be used as cutoff point in the Huber weight function (defaults to 0.95).

maxIterations

an integer giving the maximum number of iterations in the iteratively reweighted algorithm.

tol

a small positive numeric value to be used to determine convergence of the iteratively reweighted algorithm.

Value

A list with components corresponding to the arguments.

Author(s)

Andreas Alfons

References

Huber, P.J. (1981) Robust statistics. John Wiley & Sons.

See Also

covHuber