robustcov (version 0.1)

covGK: Gnanadesikan-Kettenring estimator for *covariance*

Description

This routine calculates the Gnanadesikan-Kettenring estimator, diagonal will be MAD

Usage

covGK(data)

Arguments

data

the n by p raw data matrix

Value

a matrix with dimension p by p, GK estimator, note that it's not necessarily positive

Examples

# NOT RUN {
covGK(matrix(rnorm(500),100,5)) 
# }