Developer Reference

  • 0.9
  • 09/09/2020
  • 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.h
Input Parameters
Name
Type
Description
task
VSLSSTaskPtr
Descriptor of the task
rcov_storage
const MKL_INT*
Pointer to the storage format of a robust covariance matrix
nparams
const MKL_INT*
Pointer to the number of method parameters
params
const float*
for
vslsSSEditRobustCovariance
const double*
for
vsldSSEditRobustCovariance
Pointer to the array of method parameters
rmean
float*
for
vslsSSEditRobustCovariance
double*
for
vsldSSEditRobustCovariance
Pointer to the array of robust means
rcov
float*
for
vslsSSEditRobustCovariance
double*
for
vsldSSEditRobustCovariance
Pointer to a robust covariance matrix
Output Parameters
Name
Type
Description
status
int
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® oneAPI Math Kernel Library
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 [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.
The robust estimator of variance-covariance implementation in
Intel® oneAPI Math Kernel Library
requires that the number of observations
n
be greater than twice the number of variables:
n
> 2
p
.
See additional details of the algorithm usage model in the
Intel® oneAPI Math Kernel Library
Summary Statistics Application Notes
document [SS Notes].

Product and Performance Information

1

Intel's compilers may or may not optimize to the same degree for non-Intel microprocessors for optimizations that are not unique to Intel microprocessors. These optimizations include SSE2, SSE3, and SSSE3 instruction sets and other optimizations. Intel does not guarantee the availability, functionality, or effectiveness of any optimization on microprocessors not manufactured by Intel. Microprocessor-dependent optimizations in this product are intended for use with Intel microprocessors. Certain optimizations not specific to Intel microarchitecture are reserved for Intel microprocessors. Please refer to the applicable product User and Reference Guides for more information regarding the specific instruction sets covered by this notice.

Notice revision #20110804