Re: [R] M-estimator R function question

From: Martin Maechler <maechler_at_stat.math.ethz.ch>
Date: Sat 03 Dec 2005 - 08:22:48 EST

>>>>> "Rand" == Rand Wilcox <rwilcox@usc.edu>
>>>>> 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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