Library: | kalman |
See also: | kemitor |
Quantlet: | epscontnorm | |
Description: | Produces T i.i.d. Variates from an eps-contamination Model P= (1-eps) N(mid,Cid) + eps K with K=N(mcont,Ccont) if DirNorm ==0 with K=dirac(mcont) if DirNorm == -1 with K=dirac( +/- mcont) if DirNorm == 1 |
Usage: | {X,Ind}= epscontnorm(T,eps,mid,Cid,mcont,Ccont,DirNorm) | |
Input: | ||
T | number of Variates to be generated | |
eps (contamination radius) | numeric in [0,1) | |
mid (ideal mean) | n x 1 vector | |
Cid (ideal Covariance) | n x n matrix | |
mcont (contaminating mean) | n x 1 vector | |
Ccont (contaminating Covariance) | n x n matrix | |
DirNorm (decides which type of contaminating distribution K is taken) | K=N(mcont,Ccont) if DirNorm ==0 K=dirac(mcont) if DirNorm == -1 K=dirac( +/- mcont) if DirNorm == 1 | |
Output: | ||
X | T x n matrix of generated Variates, T is the number of generated Variates, n is the dimension of generated Variates | |
Ind | T Indicator of contamination ( 0 = no cont. 1 = cont.) |
library("kalman") library("plot") randomize(0) T = 100 eps = 0.1 mid=#(0,0) Cid = #(2,1)~#(1,1) mcont=#(3,3) Ccont = #(3,0)~#(0,0.2) erg=epscontnorm(T,eps,mid,Cid,mcont,Ccont,0) color=2*erg.Ind+2 ; red(4) if clipped green(2) else data=erg.X setmaskp(data,color, 3, 8) ; rest :default disp = createdisplay(1,1) show(disp,1,1,data)
Generates 100 observations of (1-eps) N(0,Cid)+eps N(mcont,Ccont) and plots the contaminated data in red, the rest in green