Compute a robust variance
varrob(x,h,D=NULL,kernel="gaussien")A matrix
Matrix / data frame
Scalar: bandwidth of the Kernel
The kernel used. This must be one of '"gaussien"', '"quartic"', '"triweight"', '"epanechikov"' , '"cosinus"' or '"uniform"'
A product scalar matrix / une matrice de produit scalaire
Antoine Lucas
U compute robust variance. \(U_n^{-1} = S_n^{-1} - 1/h V_n^{-1}\)
$$S_n=\frac{\sum_{i=1}^{n}K(||X_i||_{V_n^{-1}}/h)(X_i-\mu_n)(X_i-\mu_n)'}{\sum_{i=1}^nK(||X_i||_{V_n^{-1}}/h)}$$
with \(\mu_n\) estimator of the mean.
K compute a kernel.
H. Caussinus, S. Hakam, A. Ruiz-Gazen Projections revelatrices controlees: groupements et structures diverses. 2002, to appear in Rev. Statist. Appli.
acp princomp