MMboottwosample {FRB}R Documentation

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

Description

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

Usage

MMboottwosample(X, groups, R, ests = twosampleMM(X, groups))

Arguments

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

Details

This function is called by FRBhotellingMM, it is typically not to be used on its own. It requires the result of twosampleMM applied on X, supplied through the argument ests. If ests is not provided, twosampleMM 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*(2*p+p*p) rows (p is the number of variables in X), containing the recalculated estimates of the MM-locations, MM-shape, S-covariance and S-locations. Each column represents a different bootstrap sample. The first p rows are the MM-location estimates of the first sample, the next p rows are the MM-location estimates of the second sample, the next p*p rows are the common MM-shape estimates (vectorized). Then the next p*p rows are the common S-covariance estimates (vectorized), the next p are the S-location estimates of the first sample, the final p rows are the S-location estimates of the second sample. The estimates are centered by the original estimates, which are also returned through MMest in vectorized form.

Value

A list containing:

centered recalculated two sample MM- and S-estimates of location and scatter (centered by original estimates), see Details
MMest original two sample MM- and S-estimates of location and scatter, see Details

Author(s)

Ella Roelant and Gert Willems

References

See Also

See Also FRBhotellingMM, twosampleMM, Sboottwosample

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))
MMests <- twosampleMM(Ybig, grp)
bootresult <- MMboottwosample(Ybig, grp, R=1000, ests=MMests)

[Package FRB version 1.4 Index]