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List:       r-sig-robust
Subject:    Re: [RsR] [R] Oja median
From:       "Valentin Todorov" <valentin.to () gmail ! com>
Date:       2008-09-18 15:29:16
Message-ID: 4c0e456b0809180829wf4b7d55n3e11c1c1847f18ce () mail ! gmail ! com
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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@stat.math.ethz.ch
> wrote:

> > > > > > <Rahul-A.Agarwal@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@stat.math.ethz.ch] Sent: Thursday,
> > September 18, 2008 5:47 PM To: Agarwal, Rahul-A Cc:
> > R-SIG-robust@r-project.org; r-help@r-project.org Subject:
> > Re: [R] Oja median
> 
> > > > > > <Rahul-A.Agarwal@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
> 
> _______________________________________________
> R-SIG-Robust@r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-robust
> 

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