covMatQn: Robust covariance matrix

Description Usage Arguments Value References Examples

Description

Computes the robust covariance matrix of the matrix x proposed by Ma and Genton (2001) using the robust scale Qn of Rousseeuw and Croux (1993).

Usage

1

Arguments

x

a numeric matrix

Value

a numeric matrix

References

Ma, Y. and Genton, M. G. (2001) Highly robust estimation of dispersion matrices. Journal of Multivariate Analysis, 78, 11–36.

Rousseeuw, P. J. and Croux, C. (1993) Alternatives to the median absolute deviation. Journal of the American Statistical Association, 88, 1273–1283.

Examples

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dataset <- cbind(rnorm(100),rnorm(100))
covMatQn(dataset)

tsqn documentation built on May 2, 2019, 7:43 a.m.

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