[RsR] OGK covariance estimator

[Peter Filzmoser]

Martin Maechler wrote:

> But indeed, that shouldn't be a problem, since I think one
> should program the OGK using R (S) code alone {just using
> eigen() and other matrix operations},
> and have the univariate scale estimate be a plug-in, i.e.,
> a function argument.  There, one could use  Qn, Sn  {I now have
> these two in the not yet-released package on "basic robust statistic"},

Martin, we are working now on a fast implementation of the
Qn, using C++ code in R. Have you done that similarly?


> the tau-estimate (from the 2002 JASA paper) or any other
> consistent scale estimate -- ideally by passing it as an R
> function to the ``cov.okg(...)'' function {or should that be
>  ``covRob(..., method="OGK")'' ?}.
> 
> Martin Maechler, ETH Zurich
> 
> _______________________________________________
> R-SIG-Robust using r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-robust
> 
> 


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