CovMest-class {rrcov}R Documentation

Constrained M-estimates of Multivariate Location and Scatter

Description

This class, derived from the virtual class "CovRobust" accomodates constrained M-Estimates of multivariate location and scatter based on the translated biweight function (‘t-biweight’) using a High breakdown point initial estimate (Minimum Covariance Determinant - ‘Fast MCD’)

Objects from the Class

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

Slots

center:
Object of class "vector" - the estimate of the location vector
cov:
Object of class "matrix" - the 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 location and center or NULL
iter:
Object of class "numeric" - number of iterations
wt:
Object of class "vector" - vector of weights (w)
vt:
Object of class "vector" - vector of weights (v)
crit:
Object of class "numeric" - the value of the objective function
call:
Object of class "language" - the call to CovMest
method:
Object of class "character" - method used = "M-Estimates"
singularity:
a list with singularity information for the covariance matrix (or NULL of not singular)
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 "CovMest" in the signature.

Author(s)

Valentin Todorov valentin.todorov@chello.at

See Also

CovMest, Cov-class, CovRobust-class

Examples

showClass("CovMest")

[Package rrcov version 0.5-01 Index]