nag_robust_m_corr_user_fn (g02hlc) (PDF version)
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NAG Library Manual

NAG Library Function Document

nag_robust_m_corr_user_fn (g02hlc)

+ Contents

    1  Purpose
    7  Accuracy

1  Purpose

nag_robust_m_corr_user_fn (g02hlc) calculates a robust estimate of the covariance matrix for user-supplied weight functions and their derivatives.

2  Specification

#include <nag.h>
#include <nagg02.h>
void  nag_robust_m_corr_user_fn (Nag_OrderType order,
void (*ucv)(double t, double *u, double *ud, double *w, double *wd, Nag_Comm *comm),
Integer indm, Integer n, Integer m, const double x[], Integer pdx, double cov[], double a[], double wt[], double theta[], double bl, double bd, Integer maxit, Integer nitmon, const char *outfile, double tol, Integer *nit, Nag_Comm *comm, NagError *fail)

3  Description

For a set of n observations on m variables in a matrix X, a robust estimate of the covariance matrix, C, and a robust estimate of location, θ, are given by:
where τ2 is a correction factor and A is a lower triangular matrix found as the solution to the following equations.
1n i= 1nwzi2zi=0
1ni=1nuzi2zi ziT -vzi2I=0,
where xi is a vector of length m containing the elements of the ith row of X,
zi is a vector of length m,
I is the identity matrix and 0 is the zero matrix,
and w and u are suitable functions.
nag_robust_m_corr_user_fn (g02hlc) covers two situations:
(i) vt=1 for all t,
(ii) vt=ut.
The robust covariance matrix may be calculated from a weighted sum of squares and cross-products matrix about θ using weights wti=uzi. In case (i) a divisor of n is used and in case (ii) a divisor of i=1nwti is used. If w.=u., then the robust covariance matrix can be calculated by scaling each row of X by wti and calculating an unweighted covariance matrix about θ.
In order to make the estimate asymptotically unbiased under a Normal model a correction factor, τ2, is needed. The value of the correction factor will depend on the functions employed (see Huber (1981) and Marazzi (1987)).
nag_robust_m_corr_user_fn (g02hlc) finds A using the iterative procedure as given by Huber.
θjk=bjD1+θjk- 1,
where Sk=sjl, for j=1,2,,m and l=1,2,,m, is a lower triangular matrix such that:
sjl= -minmaxhjl/D3,-BL,BL, j>l -minmaxhjj/2D3-D4/D2,-BD,BD, j=l ,
where nag_robust_m_corr_user_fn (g02hlc) is based on routines in ROBETH; see Marazzi (1987).

4  References

Huber P J (1981) Robust Statistics Wiley
Marazzi A (1987) Weights for bounded influence regression in ROBETH Cah. Rech. Doc. IUMSP, No. 3 ROB 3 Institut Universitaire de Médecine Sociale et Préventive, Lausanne

5  Arguments

1:     orderNag_OrderTypeInput
On entry: the order argument specifies the two-dimensional storage scheme being used, i.e., row-major ordering or column-major ordering. C language defined storage is specified by order=Nag_RowMajor. See Section in the Essential Introduction for a more detailed explanation of the use of this argument.
Constraint: order=Nag_RowMajor or Nag_ColMajor.
2:     ucvfunction, supplied by the userExternal Function
ucv must return the values of the functions u and w and their derivatives for a given value of its argument.
The specification of ucv is:
void  ucv (double t, double *u, double *ud, double *w, double *wd, Nag_Comm *comm)
1:     tdoubleInput
On entry: the argument for which the functions u and w must be evaluated.
2:     udouble *Output
On exit: the value of the u function at the point t.
Constraint: u0.0.
3:     uddouble *Output
On exit: the value of the derivative of the u function at the point t.
4:     wdouble *Output
On exit: the value of the w function at the point t.
Constraint: w0.0.
5:     wddouble *Output
On exit: the value of the derivative of the w function at the point t.
6:     commNag_Comm *
Pointer to structure of type Nag_Comm; the following members are relevant to ucv.
userdouble *
iuserInteger *
The type Pointer will be void *. Before calling nag_robust_m_corr_user_fn (g02hlc) you may allocate memory and initialize these pointers with various quantities for use by ucv when called from nag_robust_m_corr_user_fn (g02hlc) (see Section in the Essential Introduction).
3:     indmIntegerInput
On entry: indicates which form of the function v will be used.
4:     nIntegerInput
On entry: n, the number of observations.
Constraint: n>1.
5:     mIntegerInput
On entry: m, the number of columns of the matrix X, i.e., number of independent variables.
Constraint: 1mn.
6:     x[dim]const doubleInput
Note: the dimension, dim, of the array x must be at least
  • max1,pdx×m when order=Nag_ColMajor;
  • max1,n×pdx when order=Nag_RowMajor.
Where Xi,j appears in this document, it refers to the array element
  • x[j-1×pdx+i-1] when order=Nag_ColMajor;
  • x[i-1×pdx+j-1] when order=Nag_RowMajor.
On entry: Xi,j must contain the ith observation on the jth variable, for i=1,2,,n and j=1,2,,m.
7:     pdxIntegerInput
On entry: the stride separating row or column elements (depending on the value of order) in the array x.
  • if order=Nag_ColMajor, pdxn;
  • if order=Nag_RowMajor, pdxm.
8:     cov[m×m+1/2]doubleOutput
On exit: contains a robust estimate of the covariance matrix, C. The upper triangular part of the matrix C is stored packed by columns (lower triangular stored by rows), Cij is returned in cov[j×j-1/2+i-1], ij.
9:     a[m×m+1/2]doubleInput/Output
On entry: an initial estimate of the lower triangular real matrix A. Only the lower triangular elements must be given and these should be stored row-wise in the array.
The diagonal elements must be 0, and in practice will usually be >0. If the magnitudes of the columns of X are of the same order, the identity matrix will often provide a suitable initial value for A. If the columns of X are of different magnitudes, the diagonal elements of the initial value of A should be approximately inversely proportional to the magnitude of the columns of X.
Constraint: a[j×j-1/2+j]0.0, for j=0,1,,m-1.
On exit: the lower triangular elements of the inverse of the matrix A, stored row-wise.
10:   wt[n]doubleOutput
On exit: wt[i-1] contains the weights, wti=uzi2, for i=1,2,,n.
11:   theta[m]doubleInput/Output
On entry: an initial estimate of the location argument, θj, for j=1,2,,m.
In many cases an initial estimate of θj=0, for j=1,2,,m, will be adequate. Alternatively medians may be used as given by nag_median_1var (g07dac).
On exit: contains the robust estimate of the location argument, θj, for j=1,2,,m.
12:   bldoubleInput
On entry: the magnitude of the bound for the off-diagonal elements of Sk, BL.
Suggested value: bl=0.9.
Constraint: bl>0.0.
13:   bddoubleInput
On entry: the magnitude of the bound for the diagonal elements of Sk, BD.
Suggested value: bd=0.9.
Constraint: bd>0.0.
14:   maxitIntegerInput
On entry: the maximum number of iterations that will be used during the calculation of A.
Suggested value: maxit=150.
Constraint: maxit>0.
15:   nitmonIntegerInput
On entry: indicates the amount of information on the iteration that is printed.
The value of A, θ and δ (see Section 7) will be printed at the first and every nitmon iterations.
No iteration monitoring is printed.
16:   outfileconst char *Input
On entry: a null terminated character string giving the name of the file to which results should be printed. If outfile=NULL or an empty string then the stdout stream is used. Note that the file will be opened in the append mode.
17:   toldoubleInput
On entry: the relative precision for the final estimates of the covariance matrix. Iteration will stop when maximum δ (see Section 7) is less than tol.
Constraint: tol>0.0.
18:   nitInteger *Output
On exit: the number of iterations performed.
19:   commNag_Comm *Communication Structure
The NAG communication argument (see Section in the Essential Introduction).
20:   failNagError *Input/Output
The NAG error argument (see Section 3.6 in the Essential Introduction).

6  Error Indicators and Warnings

Dynamic memory allocation failed.
On entry, argument value had an illegal value.
Column value of x has constant value.
Iterations to calculate weights failed to converge.
u value returned by ucv<0.0: uvalue=value.
w value returned by ucv<0.0: wvalue=value.
On entry, m=value.
Constraint: m1.
On entry, maxit=value.
Constraint: maxit>0.
On entry, n=value.
Constraint: n>1.
On entry, pdx=value.
Constraint: pdx>0.
On entry, m=value and n=value.
Constraint: 1mn.
On entry, n=value and m=value.
Constraint: nm.
On entry, pdx=value and m=value.
Constraint: pdxm.
On entry, pdx=value and n=value.
Constraint: pdxn.
An internal error has occurred in this function. Check the function call and any array sizes. If the call is correct then please contact NAG for assistance.
Cannot close file value.
Cannot open file value for writing.
On entry, bd=value.
Constraint: bd>0.0.
On entry, bl=value.
Constraint: bl>0.0.
On entry, tol=value.
Constraint: tol>0.0.
On entry, diagonal element value of a is 0.0.
The sum D1 is zero.
The sum D2 is zero.
The sum D3 is zero.

7  Accuracy

On successful exit the accuracy of the results is related to the value of tol; see Section 5. At an iteration let
(i) d1= the maximum value of sjl
(ii) d2= the maximum absolute change in wti
(iii) d3= the maximum absolute relative change in θj
and let δ=maxd1,d2,d3. Then the iterative procedure is assumed to have converged when δ<tol.

8  Parallelism and Performance

nag_robust_m_corr_user_fn (g02hlc) is not threaded by NAG in any implementation.
nag_robust_m_corr_user_fn (g02hlc) makes calls to BLAS and/or LAPACK routines, which may be threaded within the vendor library used by this implementation. Consult the documentation for the vendor library for further information.
Please consult the Users' Note for your implementation for any additional implementation-specific information.

9  Further Comments

The existence of A will depend upon the function u (see Marazzi (1987)); also if X is not of full rank a value of A will not be found. If the columns of X are almost linearly related, then convergence will be slow.

10  Example

A sample of 10 observations on three variables is read in along with initial values for A and theta and argument values for the u and w functions, cu and cw. The covariance matrix computed by nag_robust_m_corr_user_fn (g02hlc) is printed along with the robust estimate of θ. ucv computes the Huber's weight functions:
ut=1, if  tcu2 ut= cut2, if  t>cu2
wt= 1, if   tcw wt= cwt, if   t>cw
and their derivatives.

10.1  Program Text

Program Text (g02hlce.c)

10.2  Program Data

Program Data (g02hlce.d)

10.3  Program Results

Program Results (g02hlce.r)

nag_robust_m_corr_user_fn (g02hlc) (PDF version)
g02 Chapter Contents
g02 Chapter Introduction
NAG Library Manual

© The Numerical Algorithms Group Ltd, Oxford, UK. 2014