| donostah {robust} | R Documentation |
Compute a robust estimate of location and scale using the Donoho-Stahel projection-bsed estimator.
donostah(x, control)
x |
a numeric matrix containing the data. |
control |
a list of control parameters. The utility function covRob.control creates a list of the control parameters and their default values. See details for the required control parameters and their default values. |
This function is called by the high-level function covRob when the Stahel-Donoho estimator is specified (via the optional argument estim = "donostah"). It may also be of interest to power users who want to compute a Stahel-Donoho estimate with a minimum of fuss.
nresamp = "auto"nresamp may not be reached if too many of the size p subsamples, chosen out of the observed vectors, are in a hyperplane. If nresamp = 0 all subsamples are taken. The default nresamp = "auto" is calculated to provide a breakdown point of eps with probability prob.maxres = "auto"maxres = "auto" is 2 times nresamp.random.sample = FALSEFALSE then the random seed is set so that the estimate is reproducible.center = TRUEcenter = TRUE then a robust estimate of the center is computed; if center = FALSE then no centering takes place and the center is taken to be the zero vector.tune = 0.95prob = 0.99nresamp when nresamp = "auto".eps = 0.5nresamp when nresamp = "auto".a list with the following components:
call |
an image of the call that produced the object with all the arguments named. |
cov |
a numeric matrix containing the Stahel-Donoho estimate of the covariance/correlation matrix. |
center |
a numeric vector containing the Stahel-Donoho estimate of the location vector. |
Maronna, R. A. and Yohai, V. J. (1995). The behavior of the Stahel-Donoho robust multivariate estimator. Journal of the American Statistical Association, 90, 330-341.
data(woodmod.dat)
X <- as.matrix(woodmod.dat)
ds.control <- covRob.control("donostah")
donostah(X, ds.control)