Sboottwosample {FRB}R Documentation

Fast and Robust Bootstrap for Two-Sample S-estimates of Location and Covariance

Description

Calculates bootstrapped two-sample S-estimates using the Fast and Robust Bootstrap method.

Usage

Sboottwosample(X, groups, R, ests = twosampleS(X, groups))

Arguments

X matrix or data frame
groups vector of 1's and 2's, indicating group numbers
R number of bootstrap samples
ests original two-sample S-estimates as returned by twosampleS()

Details

This function is called by FRBhotellingS, it is typically not to be used on its own. It requires the result of twosampleS applied on X, supplied through the argument ests. If ests is not provided, twosampleS will be called with default arguments.

The fast and robust bootstrap was first developed by Salibian-Barrera and Zamar (2002) for univariate regression MM-estimators.

The value centered gives a matrix with R columns and 2*p+p*p rows (p is the number of variables in X), containing the recalculated estimates of the S-location for the first and second center and common S-covariance. Each column represents a different bootstrap sample. The first p rows are the location estimates of the first center, the next p rows are the location estimates of the second center and the last p*p rows are the common covariance estimates (vectorized). The estimates are centered by the original estimates, which are also returned through Sest.

Value

A list containing:

centered recalculated estimates of location of first and second center and covariance (centered by original estimates)
Sest original estimates of first and second center and common covariance

Author(s)

Ella Roelant and Gert Willems

References

See Also

FRBhotellingS and twosampleS

Examples

Y1 <- matrix(rnorm(50*5), ncol=5)
Y2 <- matrix(rnorm(50*5), ncol=5)
Ybig <- rbind(Y1,Y2)
grp <- c(rep(1,50),rep(2,50))
Sests <- twosampleS(Ybig, grp, bdp=0.25)
bootresult <- Sboottwosample(Ybig,grp,R=1000,ests=Sests)


[Package FRB version 1.4 Index]