MMboot_twosample {FRB}R Documentation

Fast and Robust Bootstrap for Two-Sample MM-estimates of Location and Covariance

Description

Calculates bootstrapped two sample MM-estimates using the Fast and Robust Bootstrap method.

Usage

MMboot_twosample(X, groups, R, ests = MMest_twosample(X, groups))

Arguments

X matrix of data frame
groups vector of 1's and 2's, indicating group numbers
R number of bootstrap samples
ests original MM-estimates as returned by MMest_twosample()

Details

This function is called by FRBhotellingMM, it is typically not to be used on its own. It requires the result of MMest_twosample applied on X, supplied through the argument ests. If ests is not provided, MMest_twosample will be called with default arguments.

The fast and robust bootstrap was first developed by Salibian-Barrera and Zamar (2002) for univariate regression MM-estimators.

The value centered gives a matrix with R columns and 2*(2*p+p*p) rows (p is the number of variables in X), containing the recalculated estimates of the MM-locations, MM-shape, S-covariance and S-locations. Each column represents a different bootstrap sample. The first p rows are the MM-location estimates of the first sample, the next p rows are the MM-location estimates of the second sample, the next p*p rows are the common MM-shape estimates (vectorized). Then the next p*p rows are the common S-covariance estimates (vectorized), the next p are the S-location estimates of the first sample, the final p rows are the S-location estimates of the second sample. The estimates are centered by the original estimates, which are also returned through MMest in vectorized form.

Value

A list containing:

centered recalculated two sample MM- and S-estimates of location and scatter (centered by original estimates), see Details
MMest original two sample MM- and S-estimates of location and scatter, see Details

Author(s)

Ella Roelant and Gert Willems

References

See Also

See Also FRBhotellingMM, MMest_twosample, Sboot_twosample

Examples

Y1 <- matrix(rnorm(50*5), ncol=5)
Y2 <- matrix(rnorm(50*5), ncol=5)
Ybig <- rbind(Y1,Y2)
grp <- c(rep(1,50),rep(2,50))
MMests <- MMest_twosample(Ybig, grp)
bootresult <- MMboot_twosample(Ybig, grp, R=1000, ests=MMests)

[Package FRB version 1.6 Index]