CovMrcd-class: MRCD Estimates of Multivariate Location and Scatter

In rrcov: Scalable Robust Estimators with High Breakdown Point

MRCD Estimates of Multivariate Location and Scatter

Description

This class, derived from the virtual class "CovRobust" accomodates MRCD Estimates of multivariate location and scatter computed by a variant of the ‘Fast MCD’ algorithm.

Objects from the Class

Objects can be created by calls of the form new("CovMrcd", ...), but the usual way of creating CovMrcd objects is a call to the function CovMrcd which serves as a constructor.

Slots

alpha:

Object of class "numeric" - the size of the subsets over which the determinant is minimized (the default is (n+p+1)/2)

quan:

Object of class "numeric" - the number of observations on which the MCD is based. If quan equals n.obs, the MCD is the classical covariance matrix.

best:

Object of class "Uvector" - the best subset found and used for computing the raw estimates. The size of best is equal to quan

cnp2:

Object of class "numeric" - containing the consistency correction factor of the estimate of the covariance matrix.

icov:

The inverse of the covariance matrix.

rho:

The estimated regularization parameter.

target:

The estimated target matrix.

crit:

from the "CovRobust" class.

call, cov, center, n.obs, mah, method, X:

from the "Cov" class.

Extends

Class "CovRobust", directly. Class "Cov", by class "CovRobust".

Methods

No methods defined with class "CovMrcd" in the signature.

Author(s)

Valentin Todorov [e-mail]

References

Todorov V & Filzmoser P (2009), An Object Oriented Framework for Robust Multivariate Analysis. Journal of Statistical Software, 32(3), 1–47. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.18637/jss.v032.i03")}.

See Also

CovMrcd, Cov-class, CovRobust-class, CovMcd-class

Examples

showClass("CovMrcd")

rrcov documentation built on July 9, 2023, 6:03 p.m.