[RsR] OGK covariance estimator

[Matias Salibian-Barrera]

Martin Maechler wrote:
>   \item I plan to add ``\emph{psi - Function}'' objects, using an S4 class,
>     with instances for Huber, Hampel, Biweight, etc, at least for the
>     M-estimators (of location / regression).
>     Such an object should contain  $\rho$, $\psi$, $w(x) := \psi(x)/x$,
>     $\psi'$ (= $d/\mathrm{dx} \psi$) functions, default values for the tuning
>     constants, and functionals such as $E_X[\psi(X)^2]$,  $E_X[\psi'(X)]$,
>     for $X\sim N(0,1)$ (these functionals are still \emph{functions} of the
>     tuning parameters).
 > [snip]
> and actually I've done the S4 class for "psi-function" objects
> last Friday.
> 
> Now I'm interested to hear more..

I think estimating functions are "natural" candidates to be treated as 
S4 objects, as Martin's blueprint shows above.

One question: I have written the "workhorses" of my code in C and the 
"psi" functions are defined inside the C code (tuning constants are 
taken from R). If we move towards having the "psi" functions constructed 
in R (which I think is a good idea for many reasons), is there an easy 
way to have the C code use them? .Call() comes to mind, but of course, I 
would want to re-write the least possible number of lines of my original 
C code.

Matias

PS: A website collecting the working groups minutes and other related 
material to this project is already being set up and will be announced 
in this list when it becomes "live" (which should happen soon).