robustX: covNNC – R documentation

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covNNC

Robust Covariance Estimation via Nearest Neighbor Cleaning

Description

covNNC() estimates robust covariance/dispersion matrices by the nearest neighbor variance estimation (NNVE) or (rather) “Nearest Neighbor Cleaning” (NNC) method of Wang and Raftery (2002, JASA).

Usage

covNNC(X, k = min(12, n - 1), pnoise = 0.05, emconv = 0.001,
       bound = 1.5, extension = TRUE, devsm = 0.01)

Arguments

`X`	matrix in which each row represents an observation or point and each column represents a variable.
`k`	desired number of nearest neighbors (default is 12)
`pnoise`	percent of added noise
`emconv`	convergence tolerance for EM
`bound`	value used to identify surges in variance caused by outliers wrongly included as signal points (`bound = 1.5` means a 50 percent increase)
`extension`	whether or not to continue after reaching the last chi-square distance. The default is to continue, which is indicated by setting `extension = TRUE`.
`devsm`	when `extension = TRUE`, the algorithm stops if the relative difference in variance is less than `devsm`. (default is 0.01)

Value

A list with components

`cov`	covariance matrix
`mu`	mean vector
`postprob`	posterior probability
`classification`	classification (0=noise otherwise 1) obtained by rounding `postprob`
`innc`	list of initial nearest neighbor cleaning results (components are the covariance, mean, posterior probability and classification)

Note

MM: Even though covNNC() is backed by a serious scientific publication, I cannot recommend its use at all.

Author(s)

Naisyin Wang nwang@stat.tamu.edu and Adrian Raftery raftery@stat.washington.edu with contributions from Chris Fraley fraley@stat.washington.edu.

covNNC(), then named cov.nnve(), used to be (the only function) in CRAN package covRobust (2003), which was archived in 2012.

Martin Maechler allowed ncol(X) == 1, sped up the original code, by reducing the amount of scaling; further, the accuracy was increased (using internal q.dDk()). The original version is available, unexported as robustX:::covNNC1.

References

Wang, N. and Raftery, A. (2002) Nearest neighbor variance estimation (NNVE): Robust covariance estimation via nearest neighbor cleaning (with discussion). Journal of the American Statistical Association 97, 994–1019.

see also University of Washington Statistics Technical Report 368 (2000) https://www.stat.washington.edu/research/reports

Examples

data(iris)
covNNC(iris[-5])

data(hbk, package="robustbase")
hbk.x <- data.matrix(hbk[, 1:3])
covNNC(hbk.x)

robustX

'eXtra' / 'eXperimental' Functionality for Robust Statistics

v1.2-4

GPL (>= 2)

Authors

Werner Stahel, Martin Maechler [aut, cre] (<https://orcid.org/0000-0002-8685-9910>) and potentially others

Initial release

2019-02-25