[R] How to get robust M-estimator of multivariate scatter using Huber's psi?

[rlearner309]

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!!!
>> -- 
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>> Sent from the R help mailing list archive at Nabble.com.
>>
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> 
> ______________________________________________
> R-help at r-project.org mailing list
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> PLEASE do read the posting guide
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> 
> 

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