MMultiSHR: MM robust multivariate location and scatter estimator

In msalibian/RobStatTM: Robust Statistics: Theory and Methods

MM robust multivariate location and scatter estimator

Description

This function computes an MM robust estimator for multivariate location and scatter with the "SHR" loss function.

Usage

covRobMM(X, maxit = 50, tolpar = 1e-04, corr = FALSE)

Arguments

X	a data matrix with observations in rows.
maxit	Maximum number of iterations.
tolpar	Tolerance to decide converngence.
corr	A logical value. If TRUE a correlation matrix is included in the element cor of the returned object. Defaults to FALSE.

Details

This function computes an MM robust estimator for multivariate location and scatter with the "SHR" loss function.

Value

A list with class “covRob” containing the following elements

center	The location estimate.
cov	The scatter matrix estimate, scaled for consistency at the normal distribution. Same as V above.
cor	The correlation matrix estimate, if the argument cor equals TRUE. Otherwise it is set to NULL.
dist	Robust Mahalanobis distances
wts	weights
call	an image of the call that produced the object with all the arguments named. The matched call.
mu	The location estimate. Same as center above.
V	The scatter or correlation matrix estimate, scaled for consistency at the normal distribution

Author(s)

Ricardo Maronna, [e-mail]

References

http://www.wiley.com/go/maronna/robust

Examples

data(bus)
X0 <- as.matrix(bus)
X1 <- X0[,-9]
tmp <- covRobMM(X1)
round(tmp$cov[1:10, 1:10], 3)
tmp$mu

msalibian/RobStatTM documentation built on April 24, 2024, 5:10 a.m.