donostah {robust}R Documentation

Donoho-Stahel Covariance Estimation

Description

Compute a robust estimate of location and scale using the Donoho-Stahel projection-bsed estimator.

Usage

  donostah(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 the Stahel-Donoho estimator is specified (via the optional argument estim = "donostah"). It may also be of interest to power users who want to compute a Stahel-Donoho estimate with a minimum of fuss.

nresamp = "auto"
a positive integer giving the number of resamples required; nresamp may not be reached if too many of the size p subsamples, chosen out of the observed vectors, are in a hyperplane. If nresamp = 0 all subsamples are taken. The default nresamp = "auto" is calculated to provide a breakdown point of eps with probability prob.
maxres = "auto"
a positive integer specifying the maximum number of resamples to be performed including those that are discarded due to linearly dependent subsamples. The default value maxres = "auto" is 2 times nresamp.
random.sample = FALSE
a logical flag. If FALSE then the random seed is set so that the estimate is reproducible.
center = TRUE
a logical flag or numeric vector containing the location about which the covariance is to be taken. If center = TRUE then a robust estimate of the center is computed; if center = FALSE then no centering takes place and the center is taken to be the zero vector.
tune = 0.95
a numeric value between 0 and 1 giving the fraction of the data to receive non-zero weight.
prob = 0.99
a numeric value between 0 and 1 specifying the probability of high breakdown point; used to compute nresamp when nresamp = "auto".
eps = 0.5
a numeric value between 0 and 0.5 specifying the breakdown point; used to compute nresamp when nresamp = "auto".

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.
dist a numeric vector containing the squared Mahalanobis distances.

References

R. A. Maronna and V. J. Yohai (1995) The Behavior of the Stahel-Donoho Robust Multivariate Estimator. Journal of the American Statistical Association 90 (429), 330–341.

See Also

covRob, covRob.control.

Examples

  data(woodmod.dat)
  X <- as.matrix(woodmod.dat)
  ds.control <- covRob.control("donostah")
  donostah(X, ds.control)

[Package robust version 0.3-4 Index]