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CovControlOgk

Constructor function for objects of class "CovControlOgk"


Description

This function will create a control object CovControlOgk containing the control parameters for CovOgk

Usage

CovControlOgk(niter = 2, beta = 0.9, mrob = NULL, 
vrob = .vrobGK, smrob = "scaleTau2", svrob = "gk")

Arguments

niter

number of iterations, usually 1 or 2 since iterations beyond the second do not lead to improvement.

beta

coverage parameter for the final reweighted estimate

mrob

function for computing the robust univariate location and dispersion - one could use the tau scale defined in Yohai and Zamar (1998), see scaleTau2. The C version of this function defined by smrob is the default.

vrob

function for computing robust estimate of covariance between two random vectors - one could use the function proposed by Gnanadesikan and Kettenring (1972), see covOGK(). The C version of this function defined by svrob is the default.

smrob

a string indicating the name of the function for computing the robust univariate location and dispersion - defaults to scaleTau2 - the scale tau function defined in Yohai and Zamar (1998)

svrob

a string indicating the name of the function for computing robust estimate of covariance between two random vectors - defaults gk, the one proposed by Gnanadesikan and Kettenring (1972)

Details

If the user does not specify a scale and covariance function to be used in the computations or specifies one by using the arguments smrob and svrob (i.e. the names of the functions as strings), a native code written in C will be called which is by far faster than the R version.

If the arguments mrob and vrob are not NULL, the specified functions will be used via the pure R implementation of the algorithm. This could be quite slow.

Value

A CovControlOgk object

Author(s)

References

Maronna, R.A. and Zamar, R.H. (2002) Robust estimates of location and dispersion of high-dimensional datasets; Technometrics 44(4), 307–317.

Yohai, R.A. and Zamar, R.H. (1998) High breakdown point estimates of regression by means of the minimization of efficient scale JASA 86, 403–413.

Gnanadesikan, R. and John R. Kettenring (1972) Robust estimates, residuals, and outlier detection with multiresponse data. Biometrics 28, 81–124.

Todorov V & Filzmoser P (2009), An Object Oriented Framework for Robust Multivariate Analysis. Journal of Statistical Software, 32(3), 1–47. URL http://www.jstatsoft.org/v32/i03/.

Examples

## the following two statements are equivalent
    ctrl1 <- new("CovControlOgk", beta=0.95)
    ctrl2 <- CovControlOgk(beta=0.95)

    data(hbk)
    CovOgk(hbk, control=ctrl1)

rrcov

Scalable Robust Estimators with High Breakdown Point

v1.5-5
GPL (>= 2)
Authors
Valentin Todorov [aut, cre] (<https://orcid.org/0000-0003-4215-0245>)
Initial release
2020-07-31

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