[RsR] OGK covariance estimator

Peter Filzmoser P.Filzmoser at tuwien.ac.at
Mon Dec 5 09:02:54 CET 2005

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 at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-robust

From: Prof. Dr. Peter Filzmoser
       Dept. of Statistics & Probability Theory
       Vienna University of Technology
       Wiedner Hauptstrasse 8-10
       A-1040 Vienna, Austria
       Tel. +43 1 58801/10733
       Fax. +43 1 58801/10799
       E-mail: P.Filzmoser at tuwien.ac.at

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