[RsR] cov.SRocke

[Southworth, Harry]

Dear all,

The book by Maronna, Martin and Yohai recommends use of a function,
cov.SRocke, for computing an S-estimate of covariance in high
dimensional problems.

The software was located at an old Insightful address that no longer
seems active.

Does anyone have the code, know where I can find a function that does
the same thing, or have a reference that argues for an alternative
method.

Thanks,
Harry

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