Robust correlation between the variables x and y
Computes the robust correlation of x and y proposed by Ma and Genton (2001) using the robust scale Qn of Rousseeuw and Croux (1993).
corQn(x, y)
x |
a numeric vector |
y |
a numeric vector |
a numerical value with the robust correlation between x and y
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.
corQn(rnorm(100),rnorm(100))
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