Message-ID: <18642.18120.411382.201416@stat.math.ethz.ch>
Date: 2008-09-18T12:17:12Z
From: Martin Maechler
Subject: Oja median
In-Reply-To: <ACA5481F0723DC4F9F5051F38E15D006D473A4@NSTMC104PEX1.ubsw.net>
>>>>> <Rahul-A.Agarwal at ubs.com>
>>>>> on Thu, 18 Sep 2008 05:20:56 -0400 writes:
> Hi,
> Can we get the code for calculating Oja median for
> multivariate data
Excuse me, but must you really?
The Oja median has (finite) breakdown point 2/n, i.e., is not
robust in any reasonable sense, and is quite expensive to compute, etc etc.
Rather use a better robust method,
typically (start with) cov.rob() from the recommended (hence
part of every correct R installation) MASS package.
There are (somewhat) better methods available for robust
"location+scatter" [aka "(mu , Sigma)"] from packages
'rrcov', 'robustbase' and/or 'robust', e.g.,
robustbase::covMcd
If you need to know more, please divert to the
SIG (special interest group) mailling list R-SIG-robust
to which I CC this.
Martin Maechler, ETH Zurich