Re: [R] [RsR] M-estimator R function question

From: Valentin Todorov <>
Date: Sat 03 Dec 2005 - 10:29:46 EST

Dear Rand,
unfortunately, right now none of the R packages can compute Rocke's constrained M-estimator of scatter and location. I have implemented this estimator as function covMTB in rrcov - see , slide 35 - but I have still some open problems to solve before releasing it to CRAN. I hope to be able to do this even before Christmas. And if you look at the next slide in this presentation, you will see that there is an working implementation of OGK, as mentioned by Martin. Again, I hope to release it very soon.

Best regards,

> >>>>> "Rand" == Rand Wilcox <>
> >>>>> on Fri, 02 Dec 2005 10:42:48 -0800 (PST) writes:
> Rand> In the robust library of S+, it is possible to compute
> Rand> Rocke's constrained M-estimator of scatter and
> Rand> location. Can't find anything within R that does the
> Rand> same thing. Can someone tell me whether any package
> Rand> exists for computing it?
> I can't offhand.
> There's the cov.rob functions in 'MASS' and the 'rrcov' package
> which do similar (better ? :-) things.
> Note that for a few weeks now, there's the R-SIG-robust mailing
> list [--> CC to there], on which we plan to talk about and coordinate the
> development of more robust methods for R --- as an offspring
> from the Treviso workshop "Robustness and R".
> Unfortunately, some things (e.g. workshop "minutes") are still a
> bit in a waiting state.
> One thing we'd be very interested is the OGK estimator of
> Maronna and Zamar (JASA, 2002). Unfortunately, there, too, some
> of the authors sold their code exclusively to Insightful (the
> S-plus company).
> Rand> Thanks.
> You're welcome.
> Rand> Rand Wilcox Professor Dept of Psychology
> Rand> University of Southern California Los Angeles, CA
> Rand> 90089-1061 FAX: 213-746-9082
> Martin Maechler, ETH Zurich
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> mailing list PLEASE do read the posting guide! Received on Sat Dec 03 10:37:06 2005

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