R/cov.ogk.R

In musto101/wilcox_R: What the package does (short line)

cov.ogk <-
function(x,y=NA,n.iter=1,sigmamu=taulc,v=gkcov,beta=.9,...){
#
# Compute robust (weighted) covariance matrix in Maronna and Zamar
# (2002, Technometrics, eq. 7).
#
# n.iter number of iterations. 1 seems to be best
# sigmamu computes a robust measure of location and scale for
#  data stored in a single vector.
#  v robust correlation coefficient
#  estloc, a robust measure of location
#
if(!is.na(y[1]))x<-cbind(x,y)
if(!is.matrix(x))stop("x should be a matrix")
x<-elimna(x)
n<-nrow(x)
p<-ncol(x)
val<-matrix(NA,p,p)
temp<-ogk(x,sigmamu=sigmamu,v=v,n.iter=n.iter,beta=beta,...)$cov
temp
}