Multivariate L1 Statistical Methods: The Package MNM

Klaus Nordhausen and Hannu Oja

Journal of Statistical Software, 2011, vol. 043, issue i05

Abstract: In the paper we present an R package MNM dedicated to multivariate data analysis based on the L1 norm. The analysis proceeds very much as does a traditional multivariate analysis. The regular L2 norm is just replaced by different L1 norms, observation vectors are replaced by their (standardized and centered) spatial signs, spatial ranks, and spatial signed-ranks, and so on. The procedures are fairly efficient and robust, and no moment assumptions are needed for asymptotic approximations. The background theory is briefly explained in the multivariate linear regression model case, and the use of the package is illustrated with several examples using the R package MNM.

Date: 2011-07-25
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Persistent link: https://EconPapers.repec.org/RePEc:jss:jstsof:v:043:i05

DOI: 10.18637/jss.v043.i05

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