CovControlMrcd-class: Class 'CovControlMrcd' - contains control parameters for CovMrcd()
Description
This class extends the CovControl class
and contains the control parameters for "CovMrcd"
Arguments
Objects from the Class
Objects can be created by calls of the form new("CovControlMrcd", ...)
or by calling the constructor-function CovControlMrcd.
Slots
alpha:
numeric parameter controlling the size of the subsets
over which the determinant is minimized, i.e., alpha*n
observations are used for computing the determinant. Allowed values
are between 0.5 and 1 and the default is 0.5.
h
the size of the subset (can be between ceiling(n/2) and n).
Normally NULL and then it h will be calculated as
h=ceiling(alpha*n). If h is provided, alpha
will be calculated as alpha=h/n.
maxcsteps
maximal number of concentration steps in the
deterministic MCD; should not be reached.
rho
regularization parameter. Normally NULL and will be estimated from the data.
target
structure of the robust positive definite target matrix:
a) "identity": target matrix is diagonal matrix with robustly estimated
univariate scales on the diagonal or b) "equicorrelation": non-diagonal
target matrix that incorporates an equicorrelation structure
(see (17) in paper).
maxcond
maximum condition number allowed (see step 3.4 in algorithm 1).
trace, tolSolve:
from the "CovControl" class.
Extends
Class "CovControl", directly.
Methods
restimate
signature(obj = "CovControlMrcd"): the generic
function restimate allows the different methods for robust estimation to be
used polymorphically - this function will call CovMrcd passing it the control
object and will return the obtained CovRobust object
Todorov V & Filzmoser P (2009), An Object Oriented Framework for Robust Multivariate Analysis.
Journal of Statistical Software, 32(3), 1--47.
tools:::Rd_expr_doi("10.18637/jss.v032.i03").
## the following two statements are equivalent ctrl1 <- new("CovControlMrcd", alpha=0.75)
ctrl2 <- CovControlMrcd(alpha=0.75)
data(hbk)
CovMrcd(hbk, control=ctrl1)