CovRobust {rrcov} | R Documentation |
Computes a robust multivariate location and scatter estimate with a high breakdown point, using one of the available estimators.
CovRobust(x, control, na.action = na.fail)
x |
a matrix or data frame. |
control |
a control object (S4) for one of the available control classes,
e.g. CovControlMcd-class , CovControlOgk-class ,
CovControlSest-class , etc.,
containing estimation options. The class of this object defines
which estimator will be used. Alternatively a character string can be specified
which names the estimator - one of auto, mcd, ogk, m, mve, sfast, surreal,
bisquare, rocke. If 'auto' is specified or the argument is missing, the
function will select the estimator (see below for details) |
na.action |
A function to specify the action to be taken if missing values are found. The default action is for the procedure to fail. An alternative is na.omit, which leads to rejection of cases with missing values on any required variable. |
This function simply calls the restimate
method of the control object
control
. If a character string naming an estimator is specified, a
new control object will be created and used. If this argument is missing or
'auto' is specified, the function will select the robust estimator
(see also covRob
). If there are less than 1000
observations and less than 10 variables or less than 5000 observations
and less than 5 variables, S estimates computed by the sfast
will be used
(since the Donoho-Stahel estimator is not yet implemented). If there are less than
50000 observations and less than 20 variables then the MCD is used.
Otherwise the Orthogonalized Quadrant Correlation estimator
(CovOgk with the corresponding parameters) is used.
An object derived from a CovRobust
object, depending on the selected estimator.
Valentin Todorov valentin.todorov@chello.at
data(hbk) hbk.x <- data.matrix(hbk[, 1:3]) CovRobust(hbk.x) CovRobust(hbk.x, CovControlSest(method="bisquare"))