[R] Behaviour of cov.rob/MCD

[Christian Hennig]

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.

> version
         _                
platform i686-pc-linux-gnu
arch     i686             
os       linux-gnu        
system   i686, linux-gnu  
status                    
major    1                
minor    5.1              
year     2002             
month    06               
day      17               
language R                

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


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