The estimated covariance matrix of the DCML regression estimator. This function is used internally and not meant to be used directly.
cov.dcml(res.LS, res.R, CC, sig.R, t0, p, n, control)
vector of residuals from the least squares fit
vector of residuals from the robust regression fit
estimated covariance matrix of the robust regression estimator
robust estimate of the scale of the residuals
mixing parameter
the dimensions of the problem, needed for the finite sample correction of the tuning constant of the M-scale
a list of control parameters as returned by lmrobdet.control
The covariance matrix estimate.