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
Rahul Agarwal Analyst Equities Quantitative Research UBS_ISC, Hyderabad On Net: 19 533 6363 -----Original Message----- From: Martin Maechler [mailto:[EMAIL PROTECTED] Sent: Thursday, September 18, 2008 5:47 PM To: Agarwal, Rahul-A Cc: [EMAIL PROTECTED]; r-help@r-project.org Subject: Re: [R] Oja median >>>>> <[EMAIL PROTECTED]> >>>>> 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-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
