NAG CL Interface
g02hmc (robustm_​corr_​user)

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1 Purpose

g02hmc computes a robust estimate of the covariance matrix for user-supplied weight functions. The derivatives of the weight functions are not required.

2 Specification

#include <nag.h>
void  g02hmc (Nag_OrderType order,
void (*ucv)(double t, double *u, double *w, 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)
The function may be called by the names: g02hmc, nag_correg_robustm_corr_user or nag_robust_m_corr_user_fn_no_derr.

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= 1nw(zi2)zi=0  
1ni=1nu(zi2)zi ziT -v(zi2)I=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.
g02hmc covers two situations:
  1. (i)v(t)=1 for all t,
  2. (ii)v(t)=u(t).
The robust covariance matrix may be calculated from a weighted sum of squares and cross-products matrix about θ using weights wti=u(zi). 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)).
g02hmc finds A using the iterative procedure as given by Huber; see Huber (1981).
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={ -min[max(hjl/D2,-BL),BL], j>l -min[max(12(hjj/D2-1),-BD),BD], j=l ,  
where and BD and BL are suitable bounds.
The value of τ may be chosen so that C is unbiased if the observations are from a given distribution.
g02hmc 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: order Nag_OrderType Input
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 3.1.3 in the Introduction to the NAG Library CL Interface for a more detailed explanation of the use of this argument.
Constraint: order=Nag_RowMajor or Nag_ColMajor.
2: ucv function, supplied by the user External Function
ucv must return the values of the functions u and w for a given value of its argument.
The specification of ucv is:
void  ucv (double t, double *u, double *w, Nag_Comm *comm)
1: t double Input
On entry: the argument for which the functions u and w must be evaluated.
2: u double * Output
On exit: the value of the u function at the point t.
Constraint: u0.0.
3: w double * Output
On exit: the value of the w function at the point t.
Constraint: w0.0.
4: comm Nag_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 g02hmc you may allocate memory and initialize these pointers with various quantities for use by ucv when called from g02hmc (see Section 3.1.1 in the Introduction to the NAG Library CL Interface).
Note: ucv should not return floating-point NaN (Not a Number) or infinity values, since these are not handled by g02hmc. If your code inadvertently does return any NaNs or infinities, g02hmc is likely to produce unexpected results.
3: indm Integer Input
On entry: indicates which form of the function v will be used.
4: n Integer Input
On entry: n, the number of observations.
Constraint: n>1.
5: m Integer Input
On entry: m, the number of columns of the matrix X, i.e., number of independent variables.
Constraint: 1mn.
6: x[dim] const double Input
Note: the dimension, dim, of the array x must be at least
  • max(1,pdx×m) when order=Nag_ColMajor;
  • max(1,n×pdx) when order=Nag_RowMajor.
where X(i,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: X(i,j) must contain the ith observation on the jth variable, for i=1,2,,n and j=1,2,,m.
7: pdx Integer Input
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] double Output
On exit: 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), that is Cij is returned in cov[j×(j-1)/2+i-1], ij.
9: a[m×(m+1)/2] double Input/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] double Output
On exit: wt[i-1] contains the weights, wti=u(zi2), for i=1,2,,n.
11: theta[m] double Input/Output
On entry: an initial estimate of the location parameter, 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 g07dac.
On exit: contains the robust estimate of the location parameter, θj, for j=1,2,,m.
12: bl double Input
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: bd double Input
On entry: the magnitude of the bound for the diagonal elements of Sk, BD.
Suggested value: bd=0.9.
Constraint: bd>0.0.
14: maxit Integer Input
On entry: the maximum number of iterations that will be used during the calculation of A.
Suggested value: maxit=150.
Constraint: maxit>0.
15: nitmon Integer Input
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: outfile const 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: tol double Input
On entry: the relative precision for the final estimate of the covariance matrix. Iteration will stop when maximum δ (see Section 7) is less than tol.
Constraint: tol>0.0.
18: nit Integer * Output
On exit: the number of iterations performed.
19: comm Nag_Comm *
The NAG communication argument (see Section 3.1.1 in the Introduction to the NAG Library CL Interface).
20: fail NagError * Input/Output
The NAG error argument (see Section 7 in the Introduction to the NAG Library CL Interface).

6 Error Indicators and Warnings

Dynamic memory allocation failed.
See Section 3.1.2 in the Introduction to the NAG Library CL Interface for further information.
On entry, argument value had an illegal value.
On entry, a variable has a constant value, i.e., all elements in column value of x are identical.
Iterations to calculate weights failed to converge.
u value returned by ucv<0.0: u(value)=value.
Constraint: u0.0.
w value returned by ucv<0.0: w(value)=value.
Constraint: w0.0.
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.
See Section 7.5 in the Introduction to the NAG Library CL Interface for further information.
Your licence key may have expired or may not have been installed correctly.
See Section 8 in the Introduction to the NAG Library CL Interface for further information.
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, i=value and the ith diagonal element of A is 0.
Constraint: all diagonal elements of A must be non-zero.
The sum D1 is zero. Try either a larger initial estimate of A or make u and w less strict.
The sum D2 is zero. Try either a larger initial estimate of A or make u and w less strict.

7 Accuracy

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

8 Parallelism and Performance

Background information to multithreading can be found in the Multithreading documentation.
g02hmc 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 X06 Chapter Introduction for information on how to control and interrogate the OpenMP environment used within this function. Please also 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.
If derivatives of the u and w functions are available then the method used in g02hlc will usually give much faster convergence.

10 Example

A sample of 10 observations on three variables is read in along with initial values for A and θ and parameter values for the u and w functions, cu and cw. The covariance matrix computed by g02hmc is printed along with the robust estimate of θ.
ucv computes the Huber's weight functions:
u(t)=1, if  tcu2 u(t)= cut2, if  t>cu2  
w(t)= 1, if   tcw w(t)= cwt, if   t>cw.  

10.1 Program Text

Program Text (g02hmce.c)

10.2 Program Data

Program Data (g02hmce.d)

10.3 Program Results

Program Results (g02hmce.r)