CovMcd-class {rrcov}R Documentation

MCD Estimates of Multivariate Location and Scatter

Description

This class, derived from the virtual class "CovRobust" accomodates MCD Estimates of multivariate location and scatter computed by the ‘Fast MCD’ algorithm.

Objects from the Class

Objects can be created by calls of the form new("CovMcd", ...), but the usual way of creating CovMcd objects is a call to the function CovMcd which serves as a constructor.

Slots

center:
Object of class "vector" - the final estimate of the location vector
cov:
Object of class "matrix" - the final estimate of the covariance matrix
n.obs:
Object of class "numeric" - number of observations used for the estimates
mah:
Object of class "Uvector" - vector of distances computed relative to the final estimates center and cov or NULL
iter:
Object of class "numeric" - number of iterations
wt:
Object of class "vector" - weights of the observations using the final estimate of the location and scatter
crit:
Object of class "numeric" - the value of the objective function - i.e. the determinant
call:
Object of class "language" - the call to CovMcd
method:
Object of class "character" - method used = "Minimum Covariance Determinant Estimator"
singularity:
a list with singularity information for the covariance matrix (or NULL if not singular)
alpha:
Object of class "numeric" - the size of the subsets over which the determinant is minimized (the default is (n+p+1)/2)
quan:
Object of class "numeric" - the number of observations on which the MCD is based. If quan equals n.obs, the MCD is the classical covariance matrix.
best:
Object of class "Uvector" - the best subset found and used for computing the raw estimates. The size of best is equal to quan
raw.cov:
Object of class "matrix" the raw (not reweighted) estimate of location
raw.center:
Object of class "vector" - the raw (not reweighted) estimate of scatter
raw.mah:
Object of class "Uvector" - mahalanobis distances of the observations based on the raw estimate of the location and scatter
raw.wt:
Object of class "Uvector" - weights of the observations based on the raw estimate of the location and scatter
raw.cnp2:
Object of class "numeric" - a vector of length two containing the consistency correction factor and the finite sample correction factor of the raw estimate of the covariance matrix
cnp2:
Object of class "numeric" - a vector of length two containing the consistency correction factor and the finite sample correction factor of the final estimate of the covariance matrix.
X:
Object of class "Umatrix" - the data matrix or NULL

Extends

Class "CovRobust", directly. Class "Cov", by class "CovRobust".

Methods

No methods defined with class "CovMcd" in the signature.

Author(s)

Valentin Todorov valentin.todorov@chello.at

See Also

CovMcd, Cov-class, CovRobust-class

Examples

showClass("CovMcd")

[Package rrcov version 0.5-01 Index]