Computes the simple three-step estimator as described in the rejoinder of Agostinelli et al. (2015).
ImpS(x, alpha=0.95, method=c("bisquare","rocke"), init=c("emve","emve_c"), ...)The following gives the major slots in the output S4 object:
mu | Estimated location. Can be accessed via getLocation. |
S | Estimated scatter matrix. Can be accessed via getScatter. |
xf | Filtered data matrix from the first step of 2SGS. Can be accessed via getFiltDat. |
a matrix or data frame.
quantile of the reference distribution in the univariate filter step (see gy.filt). Default is 0.95.
which loss function to use: 'bisquare', 'rocke'.
type of initial estimator. Currently this can either be "emve" (EMVE with uniform sampling, see Danilov et al., 2012) or "emve_c" (EMVE_C with cluster sampling, see Leung and Zamar, 2016). Default is "emve".
optional, additional arguments to be passed to GSE.
Andy Leung andy.leung@stat.ubc.ca, Claudio Agostinelli, Ruben H. Zamar, Victor J. Yohai
This function computes the simple three-step estimator as described in the rejoinder in Agostinelli et al. (2015). The procedure has three steps:
In Step I, the method flags and removes cell-wise outliers using the Gervini-Yohai univariate only filter (see gy.filt).
In Step II, the method imputes the filtered cells using coordinate-wise medians.
In Step III, the method applies MVE-S to the filtered and imputed data from Step II (see GSE).
Agostinelli, C., Leung, A. , Yohai, V.J., and Zamar, R.H. (2015) Robust estimation of multivariate location and scatter in the presence of cellwise and casewise contamination. TEST.
GSE, gy.filt