Robust correlation matrix
Computes the robust correlation matrix of the matrix x proposed by Ma and Genton (2001) using the robust scale Qn of Rousseeuw and Croux (1993).
corMatQn(x)
x |
a numeric matrix |
a numeric matrix
Ma, Y. and Genton, M. G. (2001) Highly robust estimation of dispersion matrices. Journal of Multivariate Analysis, 78, 11–36.
Rousseeuw, P. J. and Croux, C. (1993) Alternatives to the median absolute deviation. Journal of the American Statistical Association, 88, 1273–1283.
dataset <- cbind(rnorm(100),rnorm(100)) corMatQn(dataset)
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