Re: [R] Oja median

From: <Rahul-A.Agarwal_at_ubs.com>
Date: Wed, 19 Nov 2008 12:19:47 -0500

 

Apologies Roger, if you find anything wrong with the mail. Thanks for the reference Roger.
IS there anything else which I can look at, say something in R itself? Regards and thanks once again

Rahul Agarwal
Analyst
Equities Quantitative Research
UBS_ISC, Hyderabad
On Net: 19 533 6363

-----Original Message-----
From: roger koenker [mailto:rkoenker_at_uiuc.edu] Sent: Wednesday, November 19, 2008 10:49 PM To: Agarwal, Rahul-A
Cc: r-help; R-SIG-robust_at_r-project.org
Subject: Re: [R] Oja median

Cross posting is sociopathic. The Oja median _is_ robust in several reasonable senses, but admittedly not from a breakdown perspective. There are several other options: for a good review see, e.g. Multivariate Median, A. Niinimaa and H. Oja Encyclopedia of Statistical Sciences

url:    www.econ.uiuc.edu/~roger            Roger Koenker
email    rkoenker_at_uiuc.edu            Department of Economics
vox:     217-333-4558                University of Illinois
fax:       217-244-6678                Champaign, IL 61820



On Nov 19, 2008, at 5:40 AM, <Rahul-A.Agarwal_at_ubs.com> wrote:

>
> Hi Roger,
>
> As we know that The Oja median has (finite) breakdown point 2/n, i.e.,

> is not robust in any reasonable sense, and is quite expensive to
> compute, so do we have some better methodology to compute multivariate

> median
>
>
> Rahul Agarwal
> Analyst
> Equities Quantitative Research
> UBS_ISC, Hyderabad
> On Net: 19 533 6363
>
>
>
>
>
> [[alternative HTML version deleted]]
>
> ______________________________________________
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> PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.



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https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. Received on Wed 19 Nov 2008 - 17:23:39 GMT

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