Description Usage Arguments Details Value Note Author(s) References See Also Examples
This is a slight modification of the CovMcd
function
from the rrcov
package for use with Cerioli et al. (2009)
replication and extension work presented in Green and Martin (2014).
The modifications provide more flexibility in computing the
reweighted MCD estimate.
1 2 3 4 5 6 7 
x 
See help file for 
raw.only 
See help file for 
alpha 
See help file for 
nsamp 
See help file for 
scalefn 
See help file for 
maxcsteps 
See help file for 
initHsets 
See help file for 
save.hsets 
See help file for 
seed 
See help file for 
trace 
See help file for 
use.correction 
See help file for 
control 
See help file for 
... 
See help file for 
reweighting 
A list describing how to perform the reweighting when computing the reweighted MCD estimate. The list should have the following components.

This function is a modification of CovMcd
from the rrcov
package and uses a modified version of covMcd
from the
robustbase
package. It works identically to those functions but
allows for more flexibility in the reweighting portion of the calculation.
This was needed to run/extend some of the experiments in Cerioli et al. (2009),
particularly those presented in Table 3 of that paper, where the reweighting
threshold is a Bonferronicorrected quantile.
The main work is done inside covMcd2
, a private function to the
HardinRockeExtensionSimulations
package. This function is a modified version of
covMcd
from the robustbase
package: it replaces the
quantity quantiel
used in the reweighting with a function of the same
name that computes the quantile specified in the reweighting
argument.
An S4 object of class CovMcdclass
which is a subclass of the
virtual class CovRobustclass
. See CovMcd
for more details.
This function is subject to change as the CovMcd
and covMcd
functions change. It may also be out of sync with those functions at
times.
The latest version of covMcd
(from robustbase
version 0.925)
has support for a custom weighting function, so at some point in the future
the need to use a modified version of covMcd
might be eliminated.
Written and maintained by Christopher G. Green <[email protected]>.
Andrea Cerioli, Marco Riani, and Anthony C. Atkinson. Controlling the size of multivariate outlier tests with the mcd estimator of scatter. Statistical Computing, 19:341353, 2009.
C. G. Green and R. Douglas Martin. An extension of a method of Hardin and Rocke, with an application to multivariate outlier detection via the IRMCD method of Cerioli. Working Paper, 2014. Available from http://students.washington.edu/cggreen/uwstat/papers/cerioli_extension.pdf
Todorov V & Filzmoser P (2009), An Object Oriented Framework for Robust Multivariate Analysis. Journal of Statistical Software, 32(3), 1–47. URL http://www.jstatsoft.org/v32/i03/.
1 2 3 4 5 6 7 8 9 10 11 12 13 14  require(rrcov)
require(mvtnorm)
alpha < 0.05 # significance level
nn < 100 # number of observations
p < 4 # dimension
# generate some data
simdata < mvtnorm::rmvnorm(nn, mean=rep(0,p), sigma=diag(rep(1,p)))
CovMcd2(simdata,
reweighting=list(
method="chisquare",
quantile=1(alpha/nn),
debug=FALSE
)
)

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