[RsR] port of LIBRA toolbox to R

[TEMPL Matthias]

Dear Beat,

We (Peter Filzmoser and collagues) are planning a new R package for robust imputation. 
As I understand it, most of your algorithms are related to this special field. So, maybe the best solution will be the implementation of your algorithms in this package. 
Your contribution is highly welcome.

Best regards,
Matthias  

> Dear colleagues
> 
> As a newcomer to this discussion list I am not sure where you 
> are aware of the algorithms we (Cédric Béguin and Beat 
> Hulliger of Swiss Federal Statistical Office at that time) 
> developed in the EUREDIT project 2000-2003. I cannot pretend 
> to know all the R-packages for robust covariances, so please 
> correct me if I am mistaken.
> 
> Transformed Rank Correlation (TRC)(Béguin and Hulliger, JRSS 
> A, 2004) is a one-step version of OGK with spearman rank 
> correlations as starting point. It has been developed 
> independently of the work by Maronna and Zamar. For small 
> data sets it may not be very important whether you do just 
> one iteration or iterate to convergence. The point that may 
> be interesting is that TRC is adapted to work with sampling 
> weights and has a built in ad-hoc imputation for missing 
> values (something necessary for the orthogonalisation step). 
> TRC was first implemented in S-Plus then ported to SAS and later to R.
> 
> The BACON-EEM algorithm is the second algorithm we developed 
> in EUREDIT. It uses an EM-algorithm at each step of the BACON 
> algorithm to cope with missing values. In addition the 
> covariance matrices may use sampling weights and the 
> EM-algorithm is adapted to estimate the sufficient statistics 
> at the population level (not only sample level).
> 
> I just recently "abused" the R-code of the BACON-EEM 
> algorithm to implement the ER-algorithm by Little and Smith 
> (JASA 1987). ER uses a one-step M-estimator at each iteration 
> of the EM-algorithm. 
> 
> In the EUREDIT project Ray Chambers and his colleagues also 
> developed a robust tree algorithm called WAID and at SFSO we 
> developed the Epidemic Algorithm, more related to data depth, 
> for outlier detection. WAID and EA are also available as 
> R-functions but may not be interesting for your present 
> discussion since they do not use the covariance matrix.  
> 
> It may well be that R-professionals like the ones on this 
> list will find our R-implementations badly programmed. TRC, 
> BACON-EEM, ER and EA are at your disposal anyway. For WAID 
> you would have to contact Ray Chambers.
> 
> Best regards
> Beat
> 
> -------------------------------------------------------
> Fachhochschule Nordwestschweiz FHNW /
> University of Applied Sciences Northwestern Switzerland 
> Hochschule für Wirtschaft HSW / School of Business Institut 
> für Kommunikation und Marketing ICC / Institute for 
> Communication and Competitiveness
> 
> Prof. Dr. Beat Hulliger
> Riggenbachstrasse 16
> 4600 Olten
> Schweiz / Switzerland
> -------------------------------------------------------
> T +41 62 286 0158
> F +41 62 286 0090
> beat.hulliger using fhnw.ch
> www.fhnw.ch
> -------------------------------------------------------
> 
> 
> 
> 
> 
> -----Ursprüngliche Nachricht-----
> Von: r-sig-robust-bounces using r-project.org 
> [mailto:r-sig-robust-bounces using r-project.org] Im Auftrag von 
> Martin Maechler
> Gesendet: Dienstag, 6. Februar 2007 10:23
> An: valentin.todorov using chello.at
> Cc: r-sig-robust using r-project.org
> Betreff: Re: [RsR] port of LIBRA toolbox to R
> 
> >>>>> "ValenT" == Valentin Todorov <valentin.to using gmail.com>
> >>>>>     on Mon, 5 Feb 2007 18:49:14 +0100 writes:
> 
>     ValenT> (just a short comment, to show that we are still 
> alive, although quite)
> 
> :-) thank you, Valentin
> 
>     [........]
> 
>     ValenT> Also, I do not remember if Martin mentioned this,
>     ValenT> the cluster analysis methods of LIBRA are included
>     ValenT> in the recommended R package 'cluster', again in
>     ValenT> native C and FORTRAN code.
> 
> I didn't mention it because it's not directly related to 
> robustness and also because I'm the maintainer of the 'cluster'
> package. Since you mention it, let me say that indeed 'cluster'
> has been *considerably* enhanced (and de-bugged) from the 
> original S-plus & Fortran code of Kaufman,Rousseeuw et al.
> 
>     ValenT> I have implementations of linear discriminant 
> analysis (using not only
>     ValenT> MCD, but also OGK M and S estimates, see the 
> above presentation) as
>     ValenT> well as of PCA, based on projection pursuit and 
> MCD (ala ROBPCA) which
>     ValenT> I intend to release soon in rrcov.
> 
> good!
> 
>     ValenT> By the way, Martin when do you expect to deliver 
> robustbase as a
>     ValenT> recommended package? 
> 
> Well, that's not my decision! It's the R-core team's decision 
> about which - very few - R packages become recommended and 
> are "packed with the R distribution"; so this will not simply happen.
> If continue to aim having robustbase in a a formidable state 
> within this year (say) -- not the least thanks to the 
> contributions from people on this mailing list! -- there will 
> at least be more good reasons to consider a 'recommended' state.
> 
> But note that this is not really necessary:
> Your package rrcov (or many others) can simply have a 
> 'Depends: robustbase' in their DESCRIPTION file [and probably 
> an 'Imports: robustbase' with e.g. Import("robustbase") in 
> NAMESPACE] such that people who install rrcov automatically 
> also install robustbase (if they install via the windows- or 
> mac-GUI, or use
>   install.packages(....., dependencies = TRUE) or work in R 
> version 2.5.0 [to be released in 2 months] or newer where the 
> default is 'dependencies = NA' which installs such 
> dependencies typically.
> 
>     ValenT> I still have not released a version of rrcov without
>     ValenT> covMcd, ltsReg and related functions and 
> requiring robustbase.
> 
> (and probably without those datasets that I've ported into  
> robustbase).
> 
> Yes, I've remarked that and had been wondering a bit about 
> the reason.  I'd be glad if you'd made  rrcov depend on robustbase.
> Having (many) other packages depend on one package makes that 
> ``recommended'' at least informally..
> 
> Best regards,
> Martin
> 
> _______________________________________________
> R-SIG-Robust using r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-robust
> 
> _______________________________________________
> R-SIG-Robust using r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-robust
>