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robFitConGraph (version 0.4.1)

Graph-Constrained Robust Covariance Estimation

Description

Contains a function by the same name, which provides two types of robust t-M-estimators of scatter subject to zero-constraints in the inverse. The methodology is described in Vogel & Tyler (2014) . See the robFitConGraph function documentation for further details. A tutorial including background information is given by Vogel, Watt & Wiedemann (2022) .

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Version

Install

install.packages('robFitConGraph')

Monthly Downloads

11

Version

0.4.1

License

GPL-3

Maintainer

Daniel Vogel

Last Published

December 1st, 2022

Functions in robFitConGraph (0.4.1)

find_sigma1

The asymptotic efficiency constant \(\sigma_1\) of the t-MLE for scatter
anxieties

Anxieties
robFitConGraph-package

Robust estimation of scatter matrices subject to zero-constraints in their inverse.
find_eta

The proportionality constant \(\eta\) of the t-MLE for scatter
robFitConGraph

Graph-constrained robust scatter estimation.