This class, derived from the virtual class "CovRobust" accomodates
MCD Estimates of multivariate location and scatter computed by the
‘Fast MCD’ algorithm.
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.
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.
Class "CovRobust", directly.
Class "Cov", by class "CovRobust".
No methods defined with class "CovMcd" in the signature.
Valentin Todorov valentin.todorov@chello.at
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").
CovMcd, Cov-class, CovRobust-class