# compute_cov_cor: Compute the Robust Covariance and Correlation Matrix of A... In robustfa: An Object Oriented Solution for Robust Factor Analysis

## Description

Compute the robust covariance and correlation matrix of a numeric matrix. The function is used to check whether S_r != S_r_tilda and R_r == R_r_tilda?

## Usage

 `1` ```compute_cov_cor(x, control) ```

## Arguments

 `x` A numeric matrix or an object that can be coerced to a numeric matrix. `control` A control object (S4) for one of the available control classes, e.g. `CovControlMcd-class`, `CovControlOgk-class`, `CovControlSest-class`, etc., containing estimation options. The class of this object defines which estimator will be used. Alternatively a character string can be specified which names the estimator - one of auto, sde, mcd, ogk, m, mve, sfast, surreal, bisquare, rocke. If "auto" is specified or the argument is missing, the function will select the estimator.

## Value

A list with the following components:

 `S_r ` The robust covariance matrix of cov_x. `S_r_tilda ` The robust covariance matrix of cov_scale_x. `R_r ` The robust correlation matrix of cov_x. `R_r_tilda ` The robust correlation matrix of cov_scale_x.

cov_x = CovRobust(x = x, control = control) cov_scale_x = CovRobust(x = scale(x), control = control)

## Author(s)

Ying-Ying Zhang (Robert) [email protected]

## References

Zhang, Y. Y. (2013), An Object Oriented Solution for Robust Factor Analysis.

## Examples

 ```1 2 3 4``` ```data("hbk") hbk.x = hbk[,1:3] compute_cov_cor(x = hbk.x, control = "mcd") ```

robustfa documentation built on May 29, 2017, 12:23 p.m.