[R] How to get robust M-estimator of multivariate scatter using Huber's psi?

[David Winsemius]

  Look in robustbase; it has a psiFunc class.

On Nov 19, 2008, at 2:26 PM, rlearner309 wrote:

>
> Yes I did.  But the closest I found is the covMest function in rrcov  
> package,
> which uses biweight function, which is rescending.   Unfortunately,  
> I need
> to use Huber's psi function to derive multivariate scatter, and I  
> hope I can
> try different thresholds.
> Any help?  Thanks a lot!!!
>
>
>
>
> David Winsemius wrote:
>>
>> Have you looked at the obvious Task View yet?
>>
>> http://cran.r-project.org/web/views/Robust.html
>>
>>
>> --  
>> David Winsemius
>> On Nov 19, 2008, at 1:07 PM, rlearner309 wrote:
>>
>>>
>>> How to get robust M-estimators of multivariate scatter using Huber's
>>> psi?
>>> Which package/function should I look into?  Ideally, I hope I can
>>> self-define thresholds of Huber's psi function.
>>> Thanks a lot!!!
>>> -- 
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>>
>> ______________________________________________
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>>
>>
>
> -- 
> View this message in context: http://www.nabble.com/How-to-get-robust-M-estimator-of-multivariate-scatter-using-Huber%27s-psi--tp20585755p20587324.html
> Sent from the R help mailing list archive at Nabble.com.
>
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.