EditRobustCovariance

Modifies pointers to arrays related to a robust covariance matrix.

Syntax

Fortran:

status = vslssseditrobustcovariance(task, rcov_storage, nparams, params, rmean, rcov)

status = vsldsseditrobustcovariance(task, rcov_storage, nparams, params, rmean, rcov)

status = vslsSSEditRobustCovariance(task, rcov_storage, nparams, params, rmean, rcov);

status = vsldSSEditRobustCovariance(task, rcov_storage, nparams, params, rmean, rcov);

Include Files

The Fortran 90 interfaces are specified in the mkl_vsl.f90 include file, and the C interfaces are specified in the mkl_vsl_functions.h include file.

Input Parameters

Name	Type	Description
task	Fortran: TYPE(VSL_SS_TASK) C: VSLSSTaskPtr	Descriptor of the task
rcov_storage	Fortran: INTEGER C: MKL_INT*	Pointer to the storage format of a robust covariance matrix
nparams	Fortran: INTEGER C: MKL_INT*	Pointer to the number of method parameters
params	Fortran: REAL(KIND=4) DIMENSION() for vslssseditrobustcovariance REAL(KIND=8) DIMENSION() for vsldsseditrobustcovariance C: float* for vslsSSEditRobustCovariance double* for vsldSSEditRobustCovariance	Pointer to the array of method parameters
rmean	Fortran: REAL(KIND=4) DIMENSION() for vslssseditrobustcovariance REAL(KIND=8) DIMENSION() for vsldsseditrobustcovariance C: float* for vslsSSEditRobustCovariance double* for vsldSSEditRobustCovariance	Pointer to the array of robust means
rcov	Fortran: REAL(KIND=4) DIMENSION() for vslssseditrobustcovariance REAL(KIND=8) DIMENSION() for vsldsseditrobustcovariance C: float* for vslsSSEditRobustCovariance double* for vsldSSEditRobustCovariance	Pointer to a robust covariance matrix

Output Parameters

Name	Type	Description
status	Fortran: INTEGER C: int	Current status of the task

Name

Type

Description

status

Fortran: INTEGER

C: int

Current status of the task

Description

The EditRobustCovariance routine uses values passed as parameters of the routine to replace:

pointers to covariance matrix storage
pointers to the number of method parameters and to the array of the method parameters of size nparams
pointers to the arrays that hold robust means and covariance

See Table "Storage formats of a variance-covariance/correlation matrix" for possible values of the rcov_storage parameter. If an input parameter is NULL, the corresponding parameter in the task descriptor remains unchanged.

Intel MKL provides a Translated Biweight S-estimator (TBS) for robust estimation of a variance-covariance matrix and mean [Rocke96]. Use one iteration of the Maronna algorithm with the reweighting step [Maronna02] to compute the initial point of the algorithm. Pack the parameters of the TBS algorithm into the params array and pass them into the editor. Table "Structure of the Array of TBS Parameters" describes the params structure.

Structure of the Array of TBS Parameters
Array Position	Algorithm Parameter	Description
0	ε	Breakdown point, the number of outliers the algorithm can hold. By default, the value is `(n-p)/(2n)`.
1	α	Asymptotic rejection probability, see details in [Rocke96]. By default, the value is 0.001.
2	δ	Stopping criterion: the algorithm is terminated if weights are changed less than δ. By default, the value is 0.001.
3	max_iter	Maximum number of iterations. The algorithm terminates after max_iter iterations. By default, the value is 10. If you set this parameter to zero, the function returns a robust estimate of the variance-covariance matrix computed using the Maronna method [Maronna02] only.

See additional details of the algorithm usage model in the Intel® MKL Summary Statistics Library Application Notes document on the Intel® MKL web page.