[RsR] First step towards integrating robust and robustbase+friends

[Kjell Konis]

Dear Robustnik Community,

The original fastmcd code in the Robust Library has been problematic  
with newer versions of R and on 64-bit platforms. Instead of trying to  
fix it, I decided to remove that code and use the covMcd function in  
robustbase. I'm 99% sure I've got everything working the way it should  
and I have submitted a revised package 0.3-3 to CRAN. Anyway, I had a  
few thoughts while doing this that I think could benefit from some  
discussion on the list.

1) The function covMcd in robustbase (and the very similar function  
named CovMcd in rrcov) returns a reweighted estimate based on an  
initial MCD estimate. In the Robust Library we made the decision to  
separate these two phases: in covRob we have estim = "mcd" for an MCD  
estimator (scaled for consistency) and estim = "weighted" for the  
reweighted estimator. Is it still worthwhile to make this distinction?

2) Following from 1. Is there really a need for both covMcd and  
CovMcd? AFAICT they both do pretty much the same thing except that  
CovMcd returns an S4 class rather than a list. From a user's point of  
view, which is to be preferred?

3) What do people think about the Robust Library depending on  
functions in other packages? Is anyone bothered that this in some way  
masks their contribution?

4) The goal of the Robust Library should be to a) provide usable  
robust methods, b) continue to work with the examples in MMY (although  
output may now differ from that published), and c) advertise functions  
in other packages (for instance covRob using covMcd and covMest).


Thank you for your thoughts.
Kjell