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function [X1,T1X,C1X]=RMVE(X) %Syntax: [X1,T1X,C1X]=RMVE(X) %____________________________ % % Calculates the Reweighted Minimum Vulume Ellipsoid (RMVE) of a data % set X. % % X1 is the data contained in the RMVE. % T1X is the center of the RMVE. % C1X is the covariance matrix of the RMVE. % X is the matrix of the data set. % % Reference: % Rousseeuw PJ, Leroy AM (1987): Robust regression and outlier detection. Wiley. % % % Alexandros Leontitsis % Institute of Mathematics and Statistics % University of Kent at Canterbury % Canterbury % Kent, CT2 7NF % U.K. % % University e-mail: al10@ukc.ac.uk (until December 2002) % Lifetime e-mail: leoaleq@yahoo.com % Homepage: http://www.geocities.com/CapeCanaveral/Lab/1421 % % Sep 3, 2001. [x50,x,TX,CX]=MVE(X); % n is the length of the data set, p is its dimension [n p]=size(X); % Chapter 7, eq. 1.28 j=0; for i=1:n if (X(i,:)-TX)*inv(CX)*(X(i,:)-TX)'<=chi2inv(0.975,p) j=j+1; X1(j,:)=X(i,:); end end % Chapter 7, eq. 1.29 T1X=mean(X1); % Chapter 7, eq. 1.30 C1X=cov(X1);