Package 'covRobust'

Title: Robust Covariance Estimation via Nearest Neighbor Cleaning
Description: The cov.nnve() function implements robust covariance estimation by the nearest neighbor variance estimation (NNVE) method of Wang and Raftery (2002) <DOI:10.1198/016214502388618780>.
Authors: Naisyin Wang <[email protected]> and Adrian Raftery <[email protected]> with contributions from Chris Fraley <[email protected]>
Maintainer: Hana Sevcikova <[email protected]>
License: GPL (>= 2)
Version: 1.1-3
Built: 2024-10-31 20:27:43 UTC
Source: https://github.com/hanase/covrobust

Help Index

Robust Covariance Estimation via Nearest Neighbor Cleaning

Description

The cov.nnve function for robust covariance estimation by the nearest neighbor variance estimation (NNVE) method of Wang and Raftery (2002, JASA).

Usage

cov.nnve(datamat, k = 12, pnoise = 0.05, emconv = 0.001, bound = 1.5, 
         extension = TRUE, devsm = 0.01)

Arguments

datamat

matrix in which each row represents an observation or point and each column represents a variable
k

desired number of nearest neighbors (default is 12)
pnoise

percent of added noise
emconv

convergence tolerance for EM
bound

value used to identify surges in variance caused by outliers wrongly included as signal points (bound = 1.5 means a 50 percent increase)
extension

whether or not to continue after reaching the last chi-square distance. The default is to continue, which is indicated by setting extension = TRUE.
devsm

when extension = TRUE, the algorithm stops if the relative difference in variance is less than devsm. (default is 0.01)

Value

A list with the following components:

cov

covariance matrix
mu

mean vector
postprob

posterior probability
classification

classification (0=noise otherwise 1) obtained by rounding postprob
innc

list of initial nearest neighbor cleaning results (components are the covariance, mean, posterior probability and classification)

Note

terms of use: GPL version 2 or newer.

References

Wang and Raftery (2002),Nearest neighbor variance estimation (NNVE): Robust covariance estimation via nearest neighbor cleaning (with discussion), Journal of the American Statistical Association 97:994-1019

see also University of Washington Statistics Technical Report 368 (2000) http://www.stat.washington.edu/www/research/reports

Examples

data(iris)
cov.nnve(iris[-5])