Spatial sign covariance matrix
Spatial sign covariance matrix.
sscov(x, me = NULL, tol = 1e-09)
x |
A matrix with continuous data. |
me |
If you have already computed the spatial median plug it in here. |
tol |
A tolerance level to terminate the process of finding the spatial median. This is set to 1e-09 by default. |
The spatial median is at first computed (if not supplied) and then the covariance matrix.
The spatial sign covariance matrix.
Michail Tsagris
R implementation and documentation: Michail Tsagris <mtsagris@yahoo.gr>.
Durre A, Vogel D. and D.E. Tyler D.E.(2014). The spatial sign covariance matrix with unknown location. Journal of Multivariate Analysis, 130: 107-117. http://arxiv.org/pdf/1307.5706v2.pdf
res<-sscov( as.matrix(iris[, 1:4]) )
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