Description

This class, derived from the virtual class "CovRobust" accomodates MCD Estimates of multivariate location and scatter computed by the ‘Fast MCD’ algorithm.

Objects from the Class

Objects can be created by calls of the form new("CovMcd", ...), but the usual way of creating CovMcd objects is a call to the function CovMcd which serves as a constructor.

Slots

alpha:

Object of class "numeric" - the size of the subsets over which the determinant is minimized (the default is (n+p+1)/2)

quan:

Object of class "numeric" - the number of observations on which the MCD is based. If quan equals n.obs, the MCD is the classical covariance matrix.

best:

Object of class "Uvector" - the best subset found and used for computing the raw estimates. The size of best is equal to quan

raw.cov:

Object of class "matrix" the raw (not reweighted) estimate of location

raw.center:

Object of class "vector" - the raw (not reweighted) estimate of scatter

raw.mah:

Object of class "Uvector" - mahalanobis distances of the observations based on the raw estimate of the location and scatter

raw.wt:

Object of class "Uvector" - weights of the observations based on the raw estimate of the location and scatter

raw.cnp2:

Object of class "numeric" - a vector of length two containing the consistency correction factor and the finite sample correction factor of the raw estimate of the covariance matrix

cnp2:

Object of class "numeric" - a vector of length two containing the consistency correction factor and the finite sample correction factor of the final estimate of the covariance matrix.

iter, crit, wt:

from the "CovRobust" class.

call, cov, center, n.obs, mah, method, singularity, X:

from the "Cov" class.

Extends

Class "CovRobust", directly. Class "Cov", by class "CovRobust".

Methods

No methods defined with class "CovMcd" in the signature.

Author(s)

Valentin Todorov valentin.todorov@chello.at

References

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/.

See Also

CovMcd, Cov-class, CovRobust-class

Examples