CovMve {rrcov} | R Documentation |
Computes a robust multivariate location and scatter estimate with a high breakdown point, using the ‘Fast MVE’ (Minimum Volume Ellipsoid) estimator.
CovMve(x, alpha = 1/2, nsamp = 500, seed = NULL, trace = FALSE, control)
x |
a matrix or data frame. |
alpha |
numeric parameter controlling the size of the subsets
over which the determinant is minimized, i.e., alpha*n
observations are used for computing the determinant. Allowed values
are between 0.5 and 1 and the default is 0.5. |
nsamp |
number of subsets used for initial estimates or "best"
or "exact" . Default is nsamp = 500 . For
nsamp="best" exhaustive enumeration is done, as long as the
number of trials does not exceed 5000. For "exact" ,
exhaustive enumeration will be attempted however many samples are
needed. In this case a warning message will be displayed saying
that the computation can take a very long time. |
seed |
starting value for random generator. Default is seed = FALSE |
trace |
whether to print intermediate results. Default is trace = FALSE |
control |
a control object (S4) of class CovControlMve-class
containing estimation options - same as these provided in the fucntion
specification. If the control object is supplied, the parameters from it
will be used. If parameters are passed also in the invocation statement, they will
override the corresponding elements of the control object. |
This function computes the minimum covariance determinant estimator
of location and scatter and returns an S4 object of class
CovMve-class
containing the estimates.
An S4 object of class CovMve-class
which is a subclass of the
virtual class CovRobust-class
.
Valentin Todorov valentin.todorov@chello.at Matias Salibian-Barrera
P. J. Rousseeuw and A. M. Leroy (1987) Robust Regression and Outlier Detection. Wiley.
cov.mve
from package MASS
data(hbk) hbk.x <- data.matrix(hbk[, 1:3]) CovMve(hbk.x) ## the following three statements are equivalent c1 <- CovMve(hbk.x, alpha = 0.75) c2 <- CovMve(hbk.x, control = CovControlMve(alpha = 0.75)) ## direct specification overrides control one: c3 <- CovMve(hbk.x, alpha = 0.75, control = CovControlMve(alpha=0.95)) c1