Computes robust estimate of covariance matrix
Computes a robust correlation matrix from x.
rcov(x)
x |
Matrix that you wish to find robust covariance of. Number of
variables is number of rows, number of observations is number
of columns. This is the opposite way round to the convention
expected by |
Method originates from Huber's "Robust Statistics" book.
Note that the columns of x must be observations, this is the opposite
way around to the usual way for functions like var.
The robust covariance matrix
Tim Downie
# # A standard normal data matrix with 3 variables, 100 observations # v <- matrix(rnorm(100*3), nrow=3, ncol=100) # # Robust covariance # rcov(v)
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