TRobustEstimator

class TRobustEstimator : public TObject

    protected:

          void AddToSscp(TMatrixD& sscp, TVectorD& vec)
          void Classic()
          void ClearSscp(TMatrixD& sscp)
          void Correl()
          void Covar(TMatrixD& sscp, TVectorD& m, TMatrixDSym& cov, TVectorD& sd, Int_t nvec)
          void CreateOrtSubset(TMatrixD& dat, Int_t* index, Int_t hmerged, Int_t nmerged, TMatrixD& sscp, Double_t* ndist)
          void CreateSubset(Int_t ntotal, Int_t htotal, Int_t p, Int_t* index, TMatrixD& data, TMatrixD& sscp, Double_t* ndist)
      Double_t CStep(Int_t ntotal, Int_t htotal, Int_t* index, TMatrixD& data, TMatrixD& sscp, Double_t* ndist)
         Int_t Exact(Double_t* ndist)
         Int_t Exact2(TMatrixD& mstockbig, TMatrixD& cstockbig, TMatrixD& hyperplane, Double_t* deti, Int_t nbest, Int_t kgroup, TMatrixD& sscp, Double_t* ndist)
      Double_t KOrdStat(Int_t ntotal, Double_t* arr, Int_t k, Int_t* work)
         Int_t Partition(Int_t nmini, Int_t* indsubdat)
         Int_t RDist(TMatrixD& sscp)
          void RDraw(Int_t* subdat, Int_t ngroup, Int_t* indsubdat)

    public:

                         TRobustEstimator()
                         TRobustEstimator(Int_t nvectors, Int_t nvariables, Int_t hh = 0)
                         TRobustEstimator(const TRobustEstimator&)
                 virtual ~TRobustEstimator()
                    void AddColumn(Double_t* col)
                    void AddRow(Double_t* row)
          static TClass* Class()
                    void Evaluate()
                    void EvaluateUni(Int_t nvectors, Double_t* data, Double_t& mean, Double_t& sigma, Int_t hh = 0)
                   Int_t GetBDPoint()
                Double_t GetChiQuant(Int_t i) const
                    void GetCorrelation(TMatrixDSym& matr)
      const TMatrixDSym* GetCorrelation() const
                    void GetCovariance(TMatrixDSym& matr)
      const TMatrixDSym* GetCovariance() const
                    void GetHyperplane(TVectorD& vec)
         const TVectorD* GetHyperplane() const
                    void GetMean(TVectorD& means)
         const TVectorD* GetMean() const
                   Int_t GetNHyp()
                   Int_t GetNOut()
                   Int_t GetNumberObservations() const
                   Int_t GetNvar() const
          const TArrayI* GetOuliers() const
                    void GetRDistances(TVectorD& rdist)
         const TVectorD* GetRDistances() const
         virtual TClass* IsA() const
       TRobustEstimator& operator=(const TRobustEstimator&)
            virtual void ShowMembers(TMemberInspector& insp, char* parent)
            virtual void Streamer(TBuffer& b)
                    void StreamerNVirtual(TBuffer& b)

Data Members

    protected:

            Int_t fNvar           number of variables
            Int_t fH              algorithm parameter, determining the subsample size
            Int_t fN              number of observations
            Int_t fVarTemp        number of variables already added to the data matrix
            Int_t fVecTemp        number of observations already added to the data matrix
            Int_t fExact          if there was an exact fit, stores the number of points on a hyperplane 
         TVectorD fMean           location estimate (mean values)
      TMatrixDSym fCovariance     covariance matrix estimate
      TMatrixDSym fInvcovariance  inverse of the covariance matrix
      TMatrixDSym fCorrelation    correlation matrix
         TVectorD fRd             array of robust distances, size n
         TVectorD fSd             array of standard deviations
          TArrayI fOut            array of indexes of ouliers, size <0.5*n
         TVectorD fHyperplane     in case more than fH observations lie on a hyperplane
         TMatrixD fData           the original data

Class Description

  TRobustEstimator

 Minimum Covariance Determinant Estimator - a Fast Algorithm
 invented by Peter J.Rousseeuw and Katrien Van Dreissen
 "A Fast Algorithm for the Minimum covariance Determinant Estimator"
 Technometrics, August 1999, Vol.41, NO.3

 What are robust estimators?
 "An important property of an estimator is its robustness. An estimator
 is called robust if it is insensitive to measurements that deviate
 from the expected behaviour. There are 2 ways to treat such deviating
 measurements: one may either try to recongize them and then remove
 them from the data sample; or one may leave them in the sample, taking
 care that they do not influence the estimate unduly. In both cases robust
 estimators are needed...Robust procedures compensate for systematic errors
 as much as possible, and indicate any situation in which a danger of not being
 able to operate reliably is detected."
 R.Fruhwirth, M.Regler, R.K.Bock, H.Grote, D.Notz
 "Data Analysis Techniques for High-Energy Physics", 2nd edition

 What does this algorithm do?
 It computes a highly robust estimator of multivariate location and scatter.
 Then, it takes those estimates to compute robust distances of all the
 data vectors. Those with large robust distances are considered outliers.
 Robust distances can then be plotted for better visualization of the data.

 How does this algorithm do it?
 The MCD objective is to find h observations(out of n) whose classical
 covariance matrix has the lowest determinant. The MCD estimator of location
 is then the average of those h points and the MCD estimate of scatter
 is their covariance matrix. The minimum(and default) h = (n+nvariables+1)/2
 so the algorithm is effective when less than (n+nvar+1)/2 variables are outliers.
 The algorithm also allows for exact fit situations - that is, when h or more
 observations lie on a hyperplane. Then the algorithm still yields the MCD location T
 and scatter matrix S, the latter being singular as it should be. From (T,S) the
 program then computes the equation of the hyperplane.

 How can this algorithm be used?
 In any case, when contamination of data is suspected, that might influence
 the classical estimates.
 Also, robust estimation of location and scatter is a tool to robustify
 other multivariate techniques such as, for example, principal-component analysis
 and discriminant analysis.




 Technical details of the algorithm:
 0.The default h = (n+nvariables+1)/2, but the user may choose any interger h with
   (n+nvariables+1)/2<=h<=n. The program then reports the MCD's breakdown value
   (n-h+1)/n. If you are sure that the dataset contains less than 25% contamination
   which is usually the case, a good compromise between breakdown value and
  efficiency is obtained by putting h=[.75*n].
 1.If h=n,the MCD location estimate is the average of the whole dataset, and
   the MCD scatter estimate is its covariance matrix. Report this and stop
 2.If nvariables=1 (univariate data), compute the MCD estimate by the exact
   algorithm of Rousseeuw and Leroy (1987, pp.171-172) in O(nlogn)time and stop
 3.From here on, h<n and nvariables>=2.
   3a.If n is small:
    - repeat (say) 500 times:
    -- construct an initial h-subset, starting from a random (nvar+1)-subset
    -- carry out 2 C-steps (described in the comments of CStep funtion)
    - for the 10 results with lowest det(S):
    -- carry out C-steps until convergence
    - report the solution (T, S) with the lowest det(S)
   3b.If n is larger (say, n>600), then
    - construct up to 5 disjoint random subsets of size nsub (say, nsub=300)
    - inside each subset repeat 500/5 times:
    -- construct an initial subset of size hsub=[nsub*h/n]
    -- carry out 2 C-steps
    -- keep the best 10 results (Tsub, Ssub)
    - pool the subsets, yielding the merged set (say, of size nmerged=1500)
    - in the merged set, repeat for each of the 50 solutions (Tsub, Ssub)
    -- carry out 2 C-steps
    -- keep the 10 best results
    - in the full dataset, repeat for those best results:
    -- take several C-steps, using n and h
    -- report the best final result (T, S)
 4.To obtain consistency when the data comes from a multivariate normal
   distribution, covariance matrix is multiplied by a correction factor
 5.Robust distances for all elements, using the final (T, S) are calculated
   Then the very final mean and covariance estimates are calculated only for
   values, whose robust distances are less than a cutoff value (0.975 quantile
   of chi2 distribution with nvariables degrees of freedom)

this constructor should be used in a univariate case:
first call this constructor, then - the EvaluateUni(..) fucntion

adds a column to the data matrix
it is assumed that the column has size fN
variable fVarTemp keeps the number of columns l
already added

adds a vector to the data matrix
it is supposed that the vector is of size fNvar

for the univariate case
estimates of location and scatter are returned in mean and sigma parameters
the algorithm works on the same principle as in multivariate case -
it finds a subset of size hh with smallest sigma, and then returns mean and
sigma of this subset

returns the breakdown point of the algorithm

update the sscp matrix with vector vec

clear the sscp matrix, used for covariance and mean calculation

called when h=n. Returns classic covariance matrix
and mean

calculates mean and covariance

transforms covariance matrix into correlation matrix

creates a subset of htotal elements from ntotal elements
first, p+1 elements are drawn randomly(without repetitions)
if their covariance matrix is singular, more elements are
added one by one, until their covariance matrix becomes regular
or it becomes clear that htotal observations lie on a hyperplane
If covariance matrix determinant!=0, distances of all ntotal elements
are calculated, using formula d_i=Sqrt((x_i-M)*S_inv*(x_i-M)), where
M is mean and S_inv is the inverse of the covariance matrix
htotal points with smallest distances are included in the returned subset.

creates a subset of hmerged vectors with smallest orthogonal distances to the hyperplane
hyp[1]*(x1-mean[1])+...+hyp[nvar]*(xnvar-mean[nvar])=0
This function is called in case when less than fH samples lie on a hyperplane.

from the input htotal-subset constructs another htotal subset with lower determinant

As proven by Peter J.Rousseeuw and Katrien Van Driessen, if distances for all elements
are calculated, using the formula:d_i=Sqrt((x_i-M)*S_inv*(x_i-M)), where M is the mean
of the input htotal-subset, and S_inv - the inverse of its covariance matrix, then
htotal elements with smallest distances will have covariance matrix with determinant
less or equal to the determinant of the input subset covariance matrix.

determinant for this htotal-subset with smallest distances is returned

for the exact fit situaions
returns number of observations on the hyperplane

This function is called if determinant of the covariance matrix of a subset=0.

If there are more then fH vectors on a hyperplane,
returns this hyperplane and stops
else stores the hyperplane coordinates in hyperplane matrix

divides the elements into approximately equal subgroups
number of elements in each subgroup is stored in indsubdat
number of subgroups is returned

Calculates robust distances.Then the samples with robust distances
greater than a cutoff value (0.975 quantile of chi2 distribution with
fNvar degrees of freedom, multiplied by a correction factor), are given
weiht=0, and new, reweighted estimates of location and scatter are calculated
The function returns the number of outliers.

Draws ngroup nonoverlapping subdatasets out of a dataset of size n
such that the selected case numbers are uniformly distributed from 1 to n

because I need an Int_t work array

Inline Functions

                      void ~TRobustEstimator()
        const TMatrixDSym* GetCovariance() const
        const TMatrixDSym* GetCorrelation() const
                     Int_t GetNHyp()
           const TVectorD* GetMean() const
           const TVectorD* GetRDistances() const
                     Int_t GetNumberObservations() const
                     Int_t GetNvar() const
            const TArrayI* GetOuliers() const
                   TClass* Class()
                   TClass* IsA() const
                      void ShowMembers(TMemberInspector& insp, char* parent)
                      void Streamer(TBuffer& b)
                      void StreamerNVirtual(TBuffer& b)
          TRobustEstimator TRobustEstimator(const TRobustEstimator&)
         TRobustEstimator& operator=(const TRobustEstimator&)