Sboot_twosample {FRB} | R Documentation |
Fast and Robust Bootstrap for Two-Sample S-estimates of Location and Covariance
Description
Calculates bootstrapped two-sample S-estimates using the Fast and Robust Bootstrap method.
Usage
Sboot_twosample(X, groups, R = 999, ests = Sest_twosample(X, groups))
Arguments
X |
matrix or data frame. |
groups |
vector of 1's and 2's, indicating group numbers. |
R |
number of bootstrap samples. Default is |
ests |
original two-sample S-estimates as returned by |
Details
This function is called by FRBhotellingS
, it is typically not to be used on its own.
It requires the result of Sest_twosample
applied on X
, supplied through the argument ests
.
If ests
is not provided, Sest_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 and extended to the two sample setting by Roelant et al. (2008).
The value centered
gives a matrix with R
columns and 2*p+p*p
rows (p
is the number of variables in X
),
containing the recalculated estimates of the S-location for the first and second center and common S-covariance. Each column represents
a different bootstrap sample.
The first p
rows are the location estimates of the first center, the next p
rows are the location
estimates of the second center and the last p*p
rows are the common covariance estimates (vectorized). The estimates
are centered by the original estimates, which are also returned through Sest
.
Value
A list containing:
centered |
recalculated estimates of location of first and second center and covariance (centered by original estimates) |
Sest |
original estimates of first and second center and common covariance |
Author(s)
Ella Roelant, Gert Willems and Stefan Van Aelst
References
E. Roelant, S. Van Aelst and G. Willems, (2008) Fast Bootstrap for Robust Hotelling Tests, COMPSTAT 2008: Proceedings in Computational Statistics (P. Brito, Ed.) Heidelberg: Physika-Verlag, 709–719.
M. Salibian-Barrera, S. Van Aelst and G. Willems (2008) Fast and robust bootstrap. Statistical Methods and Applications, 17, 41–71.
M. Salibian-Barrera, R.H. Zamar (2002) Bootstrapping robust estimates of regression. The Annals of Statistics, 30, 556–582.
S. Van Aelst and G. Willems (2013), Fast and robust bootstrap for multivariate inference: The R package FRB. Journal of Statistical Software, 53(3), 1–32. doi:10.18637/jss.v053.i03.
See Also
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))
Sests <- Sest_twosample(Ybig, grp, bdp=0.25)
bootresult <- Sboot_twosample(Ybig,grp,R=1000,ests=Sests)