CovControlOgk {rrcov} | R Documentation |
This function will create a control object CovControlOgk
containing the control parameters for CovOgk
CovControlOgk(niter = 2, beta = 0.9, mrob = rrcov:::.mrobTau, vrob = rrcov:::.vrobGK)
niter |
number of iterations, usually 1 or 2 since iterations beyond the second do not lead to improvement. |
beta |
coverage parameter for the final reweighted estimate |
mrob |
function for computing the robust univariate location
and dispersion - defaults to the tau scale defined in
Yohai and Zamar (1998)
|
vrob |
function for computing robust estimate of covariance between two random vectors - defaults the one proposed by Gnanadesikan and Kettenring (1972) |
A CovControlMcd
object
Valentin Todorov valentin.todorov@chello.at
Maronna, R.A. and Zamar, R.H. (2002) Robust estimates of location and dispersion of high-dimensional datasets; Technometrics 44(4), 307–317.
Yohai, R.A. and Zamar, R.H. (1998) High breakdown point estimates of regression by means of the minimization of efficient scale JASA 86, 403–413.
Gnanadesikan, R. and John R. Kettenring (1972) Robust estimates, residuals, and outlier detection with multiresponse data. Biometrics 28, 81–124.
## the following two statements are equivalent ctrl1 <- new("CovControlOgk", beta=0.95) ctrl2 <- CovControlOgk(beta=0.95) data(hbk) CovOgk(hbk, control=ctrl1)