R: Computes robust estimate of covariance matrix

rcov {wavethresh} | R Documentation

## Computes robust estimate of covariance matrix

### Description

Computes a robust correlation matrix from x.

### Usage

    rcov(x)

### Arguments

`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 `var`, for example

### Details

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`.

### Value

The robust covariance matrix

### Author(s)

Tim Downie

### See Also

`threshold.mwd`

### Examples

    #
    # A standard normal data matrix with 3 variables, 100 observations
    #
    v <- matrix(rnorm(100*3), nrow=3, ncol=100)
    #
    # Robust covariance
    #
    rcov(v)

[Package wavethresh version 4.6.8 Index]