RobStatTM: cov.dcml – R documentation

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cov.dcml

Approximate covariance matrix of the DCML regression estimator.

Description

The estimated covariance matrix of the DCML regression estimator. This function is used internally and not meant to be used directly.

Usage

cov.dcml(res.LS, res.R, CC, sig.R, t0, p, n, control)

Arguments

`res.LS`	vector of residuals from the least squares fit
`res.R`	vector of residuals from the robust regression fit
`CC`	estimated covariance matrix of the robust regression estimator
`sig.R`	robust estimate of the scale of the residuals
`t0`	mixing parameter
`p, n`	the dimensions of the problem, needed for the finite sample correction of the tuning constant of the M-scale
`control`	a list of control parameters as returned by `lmrobdet.control`

Value

The covariance matrix estimate.

Author(s)

Victor Yohai, victoryohai@gmail.com

RobStatTM

Robust Statistics: Theory and Methods

v1.0.2

GPL (>= 3)

Authors

Matias Salibian-Barrera [cre], Victor Yohai [aut], Ricardo Maronna [aut], Doug Martin [aut], Gregory Brownson [aut] (ShinyUI), Kjell Konis [aut], Kjell Konis [cph] (erfi), Christophe Croux [ctb] (WBYlogreg, BYlogreg), Gentiane Haesbroeck [ctb] (WBYlogreg, BYlogreg), Martin Maechler [cph] (lmrob.fit, lmrob..M..fit, lmrob.S), Manuel Koller [cph] (lmrob.fit, .vcov.avar1, lmrob.S, lmrob.lar), Matias Salibian-Barrera [aut]

Initial release

2020-03-02