[R] Oja median

[Rahul-A.Agarwal at ubs.com]

Thanks a lot Martin.
I would definitely like to know more about calculating multivariate
median.
It would be better if I can get some method where I can calculate the
median using functions in R.
Will wait for your reply
Thanks 


Rahul Agarwal 
Analyst 
Equities Quantitative Research 
UBS_ISC, Hyderabad 
On Net: 19 533 6363 




-----Original Message-----
From: Martin Maechler [mailto:maechler at stat.math.ethz.ch] 
Sent: Thursday, September 18, 2008 5:47 PM
To: Agarwal, Rahul-A
Cc: R-SIG-robust at r-project.org; r-help at r-project.org
Subject: Re: [R] Oja median

>>>>>   <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