Biweight Midcovariance

This function computes the biweight midcovariance, a robust measure of covariance between two numerical vectors. The biweight midcovariance is less sensitive to outliers than the traditional covariance.

Usage

biweight_midcovariance(x, y)

Arguments

x

A numeric vector.

y

A numeric vector of the same length as x.

Value

The biweight midcovariance between x and y.

References

• Wilcox, R., (1997). Introduction to Robust Estimation and Hypothesis Testing. Academic Press

Author

Christian L. Goueguel

Examples

# Example 1: Compute biweight midcovariance for two vectors
x <- c(1, 2, 3, 4, 5)
y <- c(2, 3, 4, 5, 6)
stats::cov(x, y)
#> [1] 2.5
biweight_midcovariance(x, y)
#> [1] 2.297065

# Example 2: Biweight midcovariance is robust to outliers
x <- c(1, 2, 3, 4, 100)  # An outlier at 100
y <- c(2, 3, 4, 5, 6)
stats::cov(x, y)
#> [1] 50
biweight_midcovariance(x, y)
#> [1] 1.689955