CovMve {rrcov}R Documentation

Robust Location and Scatter Estimation via MVE

Description

Computes a robust multivariate location and scatter estimate with a high breakdown point, using the ‘Fast MVE’ (Minimum Volume Ellipsoid) estimator.

Usage

CovMve(x, alpha = 1/2, nsamp = 500, seed = NULL, trace = FALSE, control)

Arguments

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 = NULL
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.

Details

This function computes the minimum covariance determinant estimator of location and scatter and returns an S4 object of class CovMve-class containing the estimates.

Value

An S4 object of class CovMve-class which is a subclass of the virtual class CovRobust-class.

Author(s)

Valentin Todorov valentin.todorov@chello.at Matias Salibian-Barrera matias@stat.ubc.ca

References

P. J. Rousseeuw and A. M. Leroy (1987) Robust Regression and Outlier Detection. Wiley.

See Also

cov.mve from package MASS

Examples

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

[Package rrcov version 0.4-06 Index]