rockem {robust} | R Documentation |
Compute a robust estimate of location and scatter using Rocke's contrained M-estimator.
rockem(x, control)
x |
a numeric matrix contraining 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 the M-estimator is specified (via the optional argument estim = "m"
). It may also be of interest to power users who want to compute a constrained m-estimate with a minimum of fuss.
The required control parameters and their default values are:
quan = 0.5
ntrial = 500
The control parameters quan
and ntrial
are passed to the function fastmcd
which computes the initial robust estimate. The remaining parameters affect the constrained m-estimator.
r = 0.45
alpha = 0.05
tau = 1e-06
tol = 1e-03
maxit = 150
a list with the following components:
call |
an image of the call that produced the object with all the arguments named. |
cov |
a numeric matrix containing the constrained M-estimate of the covariance/correlation matrix. |
center |
a numeric vector containing the constrained M-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. |
David M. Rocke (1996). Robustness properties of S-estimators of multivariate location and shape in high dimension. Annals of Statistics, Vol. 24, No. 3, 1327-1345.
data(woodmod.dat) X <- as.matrix(woodmod.dat) m.control <- covRob.control("m") rockem(X, m.control)