cov.rob: May I answer myself?
I asked: Dear list, here is something I do not understand about cov.rob.
dat <- rmvnorm(200,rep(0,10),diag(10)) cov.rob(dat,method="mcd") cov.rob(dat,method="mcd",quantile.used= floor(3*211/4))
# All fine; default for quantile.used is floor(211/2)
dat <- rmvnorm(20,rep(0,10),diag(10)) cov.rob(dat,method="mcd")
# quantile.used is floor(31/2). Also fine, but...
cov.rob(dat,method="mcd",quantile.used= floor(3*31/4))
This seems to never come to an end and cannot even be stopped by C-c C-c (ESS). I thought that a larger quantile should get more stable results for such small datasets, and I do not understand where the computational problem comes from. Answer: I realize that quantile>n=20. It seems that this is the problem. quantile=19 works, quantile=20 gives an error, quantile=21 causes this strange behaviour. Perhaps there should be a protection? Best, Christian
*********************************************************************** Christian Hennig Seminar fuer Statistik, ETH-Zentrum (LEO), CH-8092 Zuerich (current) and Fachbereich Mathematik-SPST/ZMS, Universitaet Hamburg hennig at stat.math.ethz.ch, http://stat.ethz.ch/~hennig/ hennig at math.uni-hamburg.de, http://www.math.uni-hamburg.de/home/hennig/ ####################################################################### ich empfehle www.boag.de -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._