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<html><head><title>R: Covariance Estimation for Multivariate t Distribution</title>
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<table width="100%" summary="page for cov.trob {MASS}"><tr><td>cov.trob {MASS}</td><td align="right">R Documentation</td></tr></table>
<h2>Covariance Estimation for Multivariate t Distribution</h2>
<h3>Description</h3>
<p>
Estimates a covariance or correlation matrix assuming the data came
from a multivariate t distribution: this provides some degree of
robustness to outlier without giving a high breakdown point.
</p>
<h3>Usage</h3>
<pre>
cov.trob(x, wt = rep(1, n), cor = FALSE, center = TRUE, nu = 5,
maxit = 25, tol = 0.01)
</pre>
<h3>Arguments</h3>
<table summary="R argblock">
<tr valign="top"><td><code>x</code></td>
<td>
data matrix. Missing values (NAs) are not allowed.
</td></tr>
<tr valign="top"><td><code>wt</code></td>
<td>
A vector of weights for each case: these are treated as if the case <code>i</code>
actually occurred <code>wt[i]</code> times.
</td></tr>
<tr valign="top"><td><code>cor</code></td>
<td>
Flag to choose between returning the correlation (<code>cor = TRUE</code>) or
covariance (<code>cor = FALSE</code>) matrix.
</td></tr>
<tr valign="top"><td><code>center</code></td>
<td>
a logical value or a numeric vector providing the location about which
the covariance is to be taken. If <code>center = FALSE</code>, no centering
is done; if <code>center = TRUE</code> the MLE of the location vector is used.
</td></tr>
<tr valign="top"><td><code>nu</code></td>
<td>
‘degrees of freedom’ for the multivariate t distribution. Must exceed
2 (so that the covariance matrix is finite).
</td></tr>
<tr valign="top"><td><code>maxit</code></td>
<td>
Maximum number of iterations in fitting.
</td></tr>
<tr valign="top"><td><code>tol</code></td>
<td>
Convergence tolerance for fitting.
</td></tr>
</table>
<h3>Value</h3>
<p>
A list with the following components
</p>
<table summary="R argblock">
<tr valign="top"><td><code>cov</code></td>
<td>
the fitted covariance matrix.
</td></tr>
<tr valign="top"><td><code>center</code></td>
<td>
the estimated or specified location vector.
</td></tr>
<tr valign="top"><td><code>wt</code></td>
<td>
the specified weights: only returned if the <code>wt</code> argument was given.
</td></tr>
<tr valign="top"><td><code>n.obs</code></td>
<td>
the number of cases used in the fitting.
</td></tr>
<tr valign="top"><td><code>cor</code></td>
<td>
the fitted correlation matrix: only returned if <code>cor = TRUE</code>.
</td></tr>
<tr valign="top"><td><code>call</code></td>
<td>
The matched call.
</td></tr>
<tr valign="top"><td><code>iter</code></td>
<td>
The number of iterations used.
</td></tr>
</table>
<h3>References</h3>
<p>
J. T. Kent, D. E. Tyler and Y. Vardi (1994)
A curious likelihood identity for the multivariate t-distribution.
<EM>Communications in Statistics—Simulation and Computation</EM>
<B>23</B>, 441–453.
</p>
<p>
Venables, W. N. and Ripley, B. D. (1999)
<EM>Modern Applied Statistics with S-PLUS.</EM> Third
Edition. Springer.
</p>
<h3>See Also</h3>
<p>
<code><a href="../../stats/html/cor.html">cov</a></code>, <code><a href="../../stats/html/cov.wt.html">cov.wt</a></code>, <code><a href="cov.rob.html">cov.mve</a></code>
</p>
<h3>Examples</h3>
<pre>
cov.trob(stackloss)
</pre>
<hr><div align="center">[Package <em>MASS</em> version 7.2-44 <a href="00Index.html">Index]</a></div>
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