The two implementations use different consistency factors as well as different small sample correction factors.
1. The search parts of both implementations produce the same result - compare rrcov.mcd$best and mass.mcd$best. 2. The raw MCD covariance matrix is corrected as follows: MASS: - Rousseeuw and Leroy (1987), p.259 (eq. 1.26) - Marazzi (1993) (or may be Rousseeuw and van Zomeren (1900) p.638 (eq A.9) rrcov: - Croux and Haesbroeck (1999), Pison et.al. p. 337 - Pison et.al. (2002), p.338 3. The reweighted (final) covariance matrix is corrected as follows: MASS: no correction rrcov: Pison et.al. (2002) p. 339 This explains the different covariance matrices. As far as the location is concerned, in this particular case the raw MCD estimates in MASS identify one additional outlier - observation 53, which is discarded from the computation of the reweighted estimates. Look at the following plots and judge yourself if this is an outlier or not: covPlot(hbk, mcd=rrcov.mcd, which="distance", id.n=15) covPlot(hbk, mcd=mass.mcd, which="distance", id.n=15) valentin ______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
