MM robust multivariate location and scatter estimator
This function computes an MM robust estimator for multivariate location and scatter with the "SHR" loss function.
covRobMM(X, maxit = 50, tolpar = 1e-04, cor = FALSE)
X |
a data matrix with observations in rows. |
maxit |
Maximum number of iterations. |
tolpar |
Tolerance to decide converngence. |
cor |
A logical value. If |
This function computes an MM robust estimator for multivariate location and scatter with the "SHR" loss function.
A list with class “covRob” containing the following elements
mu |
The location estimate |
V |
The scatter or correlation matrix estimate, scaled for consistency at the normal distribution |
center |
The location estimate. Same as |
cov |
The scatter matrix estimate, scaled for consistency at the normal distribution. Same as |
cor |
The correlation matrix estimate, if the argument |
dista |
Robust Mahalanobis distances |
Ricardo Maronna, rmaronna@retina.ar
data(bus) X0 <- as.matrix(bus) X1 <- X0[,-9] tmp <- covRobMM(X1) round(tmp$cov[1:10, 1:10], 3) tmp$mu
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