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Simple artificial data set generated according the example by Marona and Yohai (1998). The data set consists of 20 bivariate normal observations generated with zero means, unit variances and correlation 0.8. The sample correlation is 0.81. Two outliers are introduced (i.e. these are 10% of the data) in the following way: two points are modified by interchanging the largest (observation 19) and smallest (observation 9) value of the first coordinate. The sample correlation becomes 0.05. This example provides a good example of the fact that a multivariate outlier need not be an outlier in any of its coordinate variables.

1 |

A data frame with 20 observations on 2 variables. To introduce the outliers x[9,1] with x[19,1] are interchanged.

R. A. Marona and V. J. Yohai (1998) Robust estimation of multivariate
location and scatter. In
*Encyclopedia of Statistical Sciences, Updated Volume 2*
(Eds. S.Kotz, C.Read and D.Banks). Wiley, New York p. 590

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 | ```
data(maryo)
getCorr(CovClassic(maryo)) ## the sample correlation is 0.81
## Modify 10%% of the data in the following way:
## modify two points (out of 20) by interchanging the
## largest and smallest value of the first coordinate
imin <- which(maryo[,1]==min(maryo[,1])) # imin = 9
imax <- which(maryo[,1]==max(maryo[,1])) # imax = 19
maryo1 <- maryo
maryo1[imin,1] <- maryo[imax,1]
maryo1[imax,1] <- maryo[imin,1]
## The sample correlation becomes 0.05
plot(maryo1)
getCorr(CovClassic(maryo1)) ## the sample correlation becomes 0.05
getCorr(CovMcd(maryo1)) ## the (reweighted) MCD correlation is 0.79
``` |

rrcov documentation built on May 20, 2017, 1:07 a.m.

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