I am using v4.5 on a win95 machine.
I find cov.mve to be a bit confusing. This is my interpretation of what
is going on:
1) we estimate the minimum volume ellipsoide
2) this ellipsoide is used to detect "outliers"
3) the outliers get weight=0 (other obs get weight=1)
4) the final estimates are calculated with cov.wt(X, wt=weight)
So if no observation is classified as an outlier we would expect the
cov.mve function and the cov.wt function to give the same estimates,
right ?
BUT as far as I understand the matrix of squares and crossproducts for
the cov.mve procedure is normalized by sum(weight)-1 and the other matrix
of squares and crossproducts is normalized by sum(weights) (i.e. n)
Why ?
cheers, Patrik
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