Yes I did. But the closest I found is the covMest function in rrcov package, which uses biweight function, which is rescending. Unfortunately, I need to use Huber's psi function to derive multivariate scatter, and I hope I can try different thresholds. Any help? Thanks a lot!!!
David Winsemius wrote: > > Have you looked at the obvious Task View yet? > > http://cran.r-project.org/web/views/Robust.html > > > -- > David Winsemius > On Nov 19, 2008, at 1:07 PM, rlearner309 wrote: > >> >> How to get robust M-estimators of multivariate scatter using Huber's >> psi? >> Which package/function should I look into? Ideally, I hope I can >> self-define thresholds of Huber's psi function. >> Thanks a lot!!! >> -- >> View this message in context: >> http://www.nabble.com/How-to-get-robust-M-estimator-of-multivariate-scatter-using-Huber%27s-psi--tp20585755p20585755.html >> Sent from the R help mailing list archive at Nabble.com. >> >> ______________________________________________ >> R-help@r-project.org mailing list >> https://stat.ethz.ch/mailman/listinfo/r-help >> PLEASE do read the posting guide >> http://www.R-project.org/posting-guide.html >> and provide commented, minimal, self-contained, reproducible code. > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide > http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > > -- View this message in context: http://www.nabble.com/How-to-get-robust-M-estimator-of-multivariate-scatter-using-Huber%27s-psi--tp20585755p20587324.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
