R: Classical Covariance Estimation

covClassic {robust} | R Documentation

## Classical Covariance Estimation

### Description

Compute an estimate of the covariance/correlation matrix and location vector using classical methods.

Its main intention is to return an object compatible to that produced by `covRob`, but fit using classical methods.

### Usage

    covClassic(data, corr = FALSE, center = TRUE, distance = TRUE,
               na.action = na.fail, unbiased = TRUE, ...)

### Arguments

`data` | a numeric matrix or data frame containing the data.
`corr` | a logical flag. If `corr = TRUE` then the estimated correlation matrix is computed.
`center` | a logical flag or a numeric vector of length `p` (where `p` is the number of columns of `x`) specifying the center. If `center = TRUE` then the center is estimated. Otherwise the center is taken to be 0.
`distance` | a logical flag. If `distance = TRUE` the Mahalanobis distances are computed.
`na.action` | a function to filter missing data. The default `na.fail` produces an error if missing values are present. An alternative is `na.omit` which deletes observations that contain one or more missing values.
`unbiased` | logical indicating if an unbiased estimate of the covariance matrix is should becomputed. If false, the maximum likelihood estimate is computed.
`...` | additional .

### Value

a list with class “covClassic” containing the following elements:

`call` | an image of the call that produced the object with all the arguments named.
`cov` | a numeric matrix containing the estimate of the covariance/correlation matrix.
`center` | a numeric vector containing the estimate of the location vector.
`dist` | a numeric vector containing the squared Mahalanobis distances. Only present if `distance = TRUE` in the `call`.
`corr` | a logical flag. If `corr = TRUE` then `cov` contains an estimate of the correlation matrix of `x`.

### Note

Originally, and in S-PLUS, this function was called `cov`; it has been renamed, as that did mask the function in the standard package stats.

### See Also

`covRob`, `var`, `cov.wt`.

### Examples

      data(stack.dat)
      covClassic(stack.dat)

[Package robust version 0.5-0.0 Index]