covRob {robust} | R Documentation |
Computes robust estimates of multivariate location and scatter.
covRob(data, corr = FALSE, distance = TRUE, na.action = na.fail, estim = "auto", control = covRob.control(estim, ...), ...)
data |
a numeric matrix or data frame containing the data. |
corr |
a logical flag. If corr = TRUE then the estimated correlation matrix is computed. |
distance |
a logical flag. If distance = TRUE the Mahalanobis distances are computed. |
na.action |
a function to filter missing data. The default na.fail produces an error if missing values are present. An alternative is na.omit which deletes observations that contain one or more missing values. |
estim |
the robust estimator to be used. The choices are: "mcd" for the Fast MCD algorithm of Rousseeuw and Van Driessen, "donostah" for the Donoho-Stahel projection based estimator, "M" for the constrained M estimator provided by Rocke, "pairwiseQC" for the orthogonalized quadrant correlation pairwise estimator, and "pairwiseGK" for the Orthogonalized Gnanadesikan-Kettenring pairwise estimator. The default "auto" selects from "donostah", "mcd", and "pairwiseQC" with the goal of producing a good estimate in a resonable amount of time. |
control |
a list of control parameters to be used in the numerical algorithms. See covRob.control for the possible control parameters and their default settings. This argument is ignored when estim = "auto" . |
... |
control parameters may be passed directly when estim != "auto" . |
an object of class "covRob
" with components:
call |
an image of the call that produced the object with all the arguments named. |
cov |
a numeric matrix containing the final robust estimate of the covariance/correlation matrix. |
center |
a numeric vector containing the final robust estimate of the location vector. |
raw.cov |
a numeric matrix containing the initial robust estimate of the covariance/correlation matrix. |
raw.center |
a numeric vector containing the initial robust estimate of the location vector. |
dist |
a numeric vector containing the Mahalanobis distances computed using robust estimates of covariance and location contained in cov and center . Only present if distance = TRUE in the call . |
corr |
a logical flag. If corr = TRUE then cov and raw.cov contain robust estimates of the correlation matrix of x . |
estim |
a character vector of length 1 containing the name of the robust estimator. |
control |
a list containing the control parameters used by the robust estimator. |
covRob.control
,
cov
,
cov.mcd
,
donostah
,
fastcov
,
rockem
.
data(stack.dat) covRob(stack.dat, estim = "mcd", quan = .75, ntrial = 1000)