CovNASde: Stahel-Donoho Estimates of Multivariate Location and Scatter...

In rrcovNA: Scalable Robust Estimators with High Breakdown Point for Incomplete Data

Stahel-Donoho Estimates of Multivariate Location and Scatter for incomplete data

Description

Compute a robust estimate of location and scale using the Stahel-Donoho projection based estimator

Usage

CovNASde(x, nsamp, maxres, tune = 0.95, eps = 0.5, prob = 0.99, 
impMeth = c("norm" , "seq", "rseq"), seed = NULL, trace = FALSE, control)

Arguments

x	a matrix or data frame.
nsamp	a positive integer giving the number of resamples required; nsamp may not be reached if too many of the p-subsamples, chosen out of the observed vectors, are in a hyperplane. If nsamp = 0 all possible subsamples are taken. If nsamp is omitted, it is calculated to provide a breakdown point of eps with probability prob.
maxres	a positive integer specifying the maximum number of resamples to be performed including those that are discarded due to linearly dependent subsamples. If maxres is omitted it will be set to 2 times nsamp.
tune	a numeric value between 0 and 1 giving the fraction of the data to receive non-zero weight. Defaults to 0.95
prob	a numeric value between 0 and 1 specifying the probability of high breakdown point; used to compute nsamp when nsamp is omitted. Defaults to 0.99.
impMeth	select imputation method to use - choose one of "norm" , "seq" or "rseq". The default is "norm"
eps	a numeric value between 0 and 0.5 specifying the breakdown point; used to compute nsamp when nresamp is omitted. Defaults to 0.5.
seed	starting value for random generator. Default is seed = NULL.
trace	whether to print intermediate results. Default is trace = FALSE.
control	a control object (S4) of class CovControlSde-class containing estimation options - same as these provided in the fucntion specification. If the control object is supplied, the parameters from it will be used. If parameters are passed also in the invocation statement, they will override the corresponding elements of the control object.

Value

An S4 object of class CovNASde which is a subclass of the virtual class CovNARobust.

Author(s)

Valentin Todorov [e-mail]

References

R. A. Maronna and V.J. Yohai (1995) The Behavior of the Stahel-Donoho Robust Multivariate Estimator. Journal of the American Statistical Association 90 (429), 330–341.

R. A. Maronna, D. Martin and V. Yohai (2006). Robust Statistics: Theory and Methods. Wiley, New York.

Todorov V & Filzmoser P (2009), An Object Oriented Framework for Robust Multivariate Analysis. Journal of Statistical Software, 32(3), 1–47. <doi:10.18637/jss.v032.i03>.

Examples

data(bush10)
CovNASde(bush10)

## the following four statements are equivalent
c0 <- CovNASde(bush10)
c1 <- CovNASde(bush10, nsamp=2000)
c2 <- CovNASde(bush10, control = CovControlSde(nsamp=2000))
c3 <- CovNASde(bush10, control = new("CovControlSde", nsamp=2000))

## direct specification overrides control one:
c4 <- CovNASde(bush10, nsamp=100,
             control = CovControlSde(nsamp=2000))
c1
summary(c1)

rrcovNA documentation built on Sept. 11, 2024, 8:12 p.m.