| cov.MSSD {fastmatrix} | R Documentation |
Returns a list containing the mean and covariance matrix of the data.
cov.MSSD(x)
x |
a matrix or data frame. As usual, rows are observations and columns are variables. |
This procedure uses the Holmes-Mergen method using the difference between each successive pairs of observations also known as Mean Square Successive Method (MSSD) to estimate the covariance matrix.
A list containing the following named components:
mean |
an estimate for the center (mean) of the data. |
cov |
the estimated covariance matrix. |
Holmes, D.S., Mergen, A.E. (1993). Improving the performance of the T^2 control chart. Quality Engineering 5, 619-625.
x <- cbind(1:10, c(1:3, 8:5, 8:10)) z0 <- cov(x) z0 z1 <- cov.MSSD(x) z1