[RsR] [R] Oja median

[Valentin Todorov]

I also do not understand why do you need it, but since you insist, I assume
you have a good reason.

An S-Plus code (wrapper of a C++ algorithm) was to be found on the Tommi
Ronkainen's page, but now the link is dead:

http://www.akustiko.fi/~wigy/?id=2 <http://www.akustiko.fi/%7Ewigy/?id=2>

The original article from ICORS 2001 is here:

http://books.google.com/books?id=-7GD-U-L1e8C&pg=PA344&lpg=PA344&dq=Oja+median&source=web&ots=blmcF0v_ps&sig=2lamD1URFDdmcN_3AopXfRGyaIo&hl=en&sa=X&oi=book_result&resnum=1&ct=result


I do not know if some of the authors is reading this list and I am copying
to Hannu in CC.

Best regards,
Valentin



On Thu, Sep 18, 2008 at 4:02 PM, Martin Maechler <maechler using stat.math.ethz.ch
> wrote:

> >>>>>   <Rahul-A.Agarwal using ubs.com>
> >>>>>     on Thu, 18 Sep 2008 08:25:47 -0400 writes:
>
>    > 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
>
> I don't understand.
>
> I gave several R functions that you should use *instead* of the
> Oja median, and explained why the Oja median is *not* advisable.
>
> What do you want more?
>
>
>    > Rahul Agarwal Analyst Equities Quantitative Research
>    > UBS_ISC, Hyderabad On Net: 19 533 6363
>
>
>
>
>    > -----Original Message----- From: Martin Maechler
>    > [mailto:maechler using stat.math.ethz.ch] Sent: Thursday,
>    > September 18, 2008 5:47 PM To: Agarwal, Rahul-A Cc:
>    > R-SIG-robust using r-project.org; r-help using r-project.org Subject:
>    > Re: [R] Oja median
>
> >>>>>   <Rahul-A.Agarwal using 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
>
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