Minimum Volume Ellipsoid Covariance Estimation

DESCRIPTION:

Returns a list containing robust estimates of the covariance matrix, the location, and (optionally) the correlation matrix of the data. Specifically, the function returns weighted estimates, with weights based on the minimum volume ellipsoid estimator.

This function is generic (see Methods); method functions can be written to handle specific classes of data. Classes which already have methods for this function include:

formula

USAGE:

cov.mve(object, ...) 

REQUIRED ARGUMENTS:

object
a vector, matrix, a data.frame or a formula.

OPTIONAL ARGUMENTS:

...
methods may have additional arguments.

VALUE:

an object of class "mve" representing the minimum volume ellipsoid covariance estimation. See the mve.object help file for details.

SEE ALSO:

, , , , .

EXAMPLES:

cov.mve(air) 
cov.mve(~ozone+wind+temperature+radiation, data=air)