[R] Oja median

[Martin Maechler]

>>>>>   <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