fastcov {robust}R Documentation

Orthogonalised Pariwise Covariance Estimation

Description

Compute a robust estimate of location and scatter using an orthogonalized pairwise estimator.

Usage

  fastcov(x, control)

Arguments

x a numeric matrix containing the data.
control a list of control parameters. The utility function covRob.control creates a list of the control parameters and their default values. See details for the required control parameters and their default values.

Details

This function is called by the high-level function covRob when either the pairwiseGK or the pairwiseQC estimator is specified (via the optional arguments estim = "pairwisegk" or estim = "pairwiseqc"). It may also be of interest to power users who want to compute a pairwise estimate with a minimum of fuss.

Presently the only control parameter is the name of the pairwise estimator, either "pairwisegk" or "pairwiseqc".

Value

a list with the following components:

cov a numeric matrix containing the Stahel-Donoho estimate of the covariance/correlation matrix.
center a numeric vector containing the Stahel-Donoho 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.

References

Alqallaf, F. A. (2003). A new contamination model for robust estimation with large high-dimensional datasets. Ph.D. Thesis. http://hajek.stat.ubc.ca/~ruben/website/Fatemah_thesis.pdf

Maronna, R. A. and Zamar, R. H. (2002). Robust estimates of location and dispersion for high-dimensional datasets. Technometrics, 44, 307-317.

See Also

covRob, covRob.control.

Examples

  data(woodmod.dat)
  X <- as.matrix(woodmod.dat)
  qc.control <- covRob.control("pairwiseqc")
  fastcov(X, qc.control)

  gk.control <- covRob.control("pairwisegk")
  fastcov(X, gk.control)

[Package robust version 0.3-4 Index]