R: Co-Median Location and Scatter "Covariance" Estimator

covComed {robustbase} | R Documentation

## Co-Median Location and Scatter "Covariance" Estimator

### Description

Compute (versions of) the (multivariate) “Comedian” covariance, i.e., multivariate location and scatter estimator

### Usage

    covComed(X, n.iter = 2, reweight = FALSE, tolSolve = control$tolSolve,
             trace = control$trace, wgtFUN = control$wgtFUN,
             control = rrcov.control())

### Arguments

`X` | data matrix of dimension, say n x p.
`n.iter` | number of comedian() iterations. Can be as low as zero.
`reweight` | logical indicating if the final distances and weights should be recomputed from the final `cov` and `center`. The default is currently `FALSE` because that was implicit in the first version of the R code.
`tolSolve` | a numerical tolerance passed to `solve`.
`trace` | logical (or integer) indicating if intermediate results should be printed; defaults to `FALSE`; values >= 2 also produce print from the internal (Fortran) code.
`wgtFUN` | a character string or `function`, specifying how the weights for the reweighting step should be computed. The default, `wgtFUN = "01.original"` corresponds to 0-1 weights as proposed originally. Other predefined string options are available, though experimental, see the experimental `.wgtFUN.covComed` object.
`control` | a list with estimation options - this includes those above provided in the function specification, see `rrcov.control` for the defaults. If `control` is supplied, the parameters from it will be used. If parameters are passed also in the invocation statement, they will override the corresponding elements of the control object.

### Details

.. not yet ..

### Value

an object of class `"covComed"` which is basically a list with components

`comp1` | Description of 'comp1'
`comp2` | Description of 'comp2'

... FIXME ...

### Author(s)

Maria Anna di Palma (initial), Valentin Todorov and Martin Maechler

### References

Falk, M. (1997) On mad and comedians. Annals of the Institute of Statistical Mathematics 49, 615–644.

Falk, M. (1998). A note on the comedian for elliptical distributions. Journal of Multivariate Analysis 67, 306–317.

### See Also

`covMcd`, etc

### Examples

    data(hbk)
    hbk.x <- data.matrix(hbk[, 1:3])
    (cc1 <- covComed(hbk.x))
    (ccW <- covComed(hbk.x, reweight=TRUE))
    cc0  <- covComed(hbk.x, n.iter=0)
    cc0W <- covComed(hbk.x, n.iter=0, reweight=TRUE)

    stopifnot(all.equal(unclass(cc0), # here, the 0-1 weights don't change:
                        cc0W[names(cc0)], tol=1e-12),
              which(cc1$weights == 0) == 1:14,
              which(ccW$weights == 0) == 1:14,
              which(cc0$weights == 0) == 1:14)

    ## Martin's smooth reweighting:

    ## List of experimental pre-specified wgtFUN() creators:
    ## Cutoffs may depend on  (n, p, control$beta) :
    str(.wgtFUN.covComed)

[Package robustbase version 0.92-7 Index]