fastcov {robust} | R Documentation |
Compute a robust estimate of location and scatter using an orthogonalized pairwise estimator.
fastcov(x, control)
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. |
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".
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. |
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.
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)