[RsR] cov.SRocke

[Valentin Todorov]

Dear Harry,

Have a look at the function CovSest() in package rrcov, for example:

library(rrcov)
data(hbk)
CovSest(hbk, method="rocke")

With method="rocke" the function uses exactly the same algorithm you are
referring to. Similar, but another implementation, is the function CovMest()
in the same package.

Best regards,
Valentin



On Thu, Jan 27, 2011 at 1:26 PM, Southworth, Harry <
Harry.Southworth using astrazeneca.com> wrote:

> 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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