Developer Reference

  • 2020.2
  • 07/15/2020
  • Public Content
Contents

vslSSEditRobustCovariance

Modifies pointers to arrays related to a robust covariance matrix.

Syntax

status
=
vslssseditrobustcovariance
(
task
,
rcov_storage
,
nparams
,
params
,
rmean
,
rcov
)
status
=
vsldsseditrobustcovariance
(
task
,
rcov_storage
,
nparams
,
params
,
rmean
,
rcov
)
Include Files
  • mkl_vsl.f90
Input Parameters
Name
Type
Description
task
TYPE(VSL_SS_TASK)
Descriptor of the task
rcov_storage
INTEGER
Pointer to the storage format of a robust covariance matrix
nparams
INTEGER
Pointer to the number of method parameters
params
REAL(KIND=4) DIMENSION(*)
for
vslssseditrobustcovariance
REAL(KIND=8) DIMENSION(*)
for
vsldsseditrobustcovariance
Pointer to the array of method parameters
rmean
REAL(KIND=4) DIMENSION(*)
for
vslssseditrobustcovariance
REAL(KIND=8) DIMENSION(*)
for
vsldsseditrobustcovariance
Pointer to the array of robust means
rcov
REAL(KIND=4) DIMENSION(*)
for
vslssseditrobustcovariance
REAL(KIND=8) DIMENSION(*)
for
vsldsseditrobustcovariance
Pointer to a robust covariance matrix
Output Parameters
Name
Type
Description
status
INTEGER
Current status of the task
Description
The
vslSSEditRobustCovariance
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 you pass a value of
NULL
for a specific input parameter, the value of that parameter in the task descriptor is 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
)/(2
n
)
.
1
α
Asymptotic rejection probability, see details in [