Visible to Intel only — GUID: GUID-F14C4E35-C68A-4AC8-A235-2C0A7453EEC5
Visible to Intel only — GUID: GUID-F14C4E35-C68A-4AC8-A235-2C0A7453EEC5
vslSSEditRobustCovariance
Modifies pointers to arrays related to a robust covariance matrix.
Syntax
status = vslssseditrobustcovariance(task, rcov_storage, nparams, params, rmean, rcov)
status = vsldsseditrobustcovariance(task, rcov_storage, nparams, params, rmean, rcov)
Include Files
- mkl_vsl.f90
Input Parameters
Name |
Type |
Description |
---|---|---|
task |
Fortran: TYPE(VSL_SS_TASK) |
Descriptor of the task |
rcov_storage |
Fortran: INTEGER |
Pointer to the storage format of a robust covariance matrix |
nparams |
Fortran: INTEGER |
Pointer to the number of method parameters |
params |
Fortran: REAL(KIND=4) DIMENSION(*) for vslssseditrobustcovariance REAL(KIND=8) DIMENSION(*) for vsldsseditrobustcovariance |
Pointer to the array of method parameters |
rmean |
Fortran: REAL(KIND=4) DIMENSION(*) for vslssseditrobustcovariance REAL(KIND=8) DIMENSION(*) for vsldsseditrobustcovariance |
Pointer to the array of robust means |
rcov |
Fortran: REAL(KIND=4) DIMENSION(*) for vslssseditrobustcovariance REAL(KIND=8) DIMENSION(*) for vsldsseditrobustcovariance |
Pointer to a robust covariance matrix |
Output Parameters
Name |
Type |
Description |
---|---|---|
status |
Fortran: INTEGER |
Current status of the task |
Description
The vslSSEditRobustCovariance routine uses values passed as parameters of the routine to replace:
pointers to covariance matrix storage
pointers to the number of method parameters and to the array of the method parameters of size nparams
pointers to the arrays that hold robust means and covariance
See Table "Storage formats of a variance-covariance/correlation matrix" for possible values of the rcov_storage parameter. If you pass a value of NULL for a specific input parameter, the value of that parameter in the task descriptor is unchanged.
Intel® oneAPI Math Kernel Library (oneMKL) provides a Translated Biweight S-estimator (TBS) for robust estimation of a variance-covariance matrix and mean [Rocke96]. Use one iteration of the Maronna algorithm with the reweighting step [Maronna02] to compute the initial point of the algorithm. Pack the parameters of the TBS algorithm into the params array and pass them into the editor. Table "Structure of the Array of TBS Parameters" describes the params structure.
Array Position |
Algorithm Parameter |
Description |
---|---|---|
0 |
ε |
Breakdown point, the number of outliers the algorithm can hold. By default, the value is (n-p)/(2n). |
1 |
α |
Asymptotic rejection probability, see details in [Rocke96]. By default, the value is 0.001. |
2 |
δ |
Stopping criterion: the algorithm is terminated if weights are changed less than δ. By default, the value is 0.001. |
3 |
max_iter |
Maximum number of iterations. The algorithm terminates after max_iter iterations. By default, the value is 10. If you set this parameter to zero, the function returns a robust estimate of the variance-covariance matrix computed using the Maronna method [Maronna02] only. |
The robust estimator of variance-covariance implementation in Intel® oneAPI Math Kernel Library (oneMKL) requires that the number of observationsn be greater than twice the number of variables: n > 2p.
See additional details of the algorithm usage model in the Intel® oneAPI Math Kernel Library (oneMKL) Summary Statistics Application Notes document [SS Notes].