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

[Ted Young]

Thanks again for the message.
Tried to figure out but failed...
I don't understand how to modify the \psi and combine it to covMest... Sorry
for my poor programming skills.
Can anyone give me some hints?
Thanks a lot!
Ted



David Winsemius wrote:
> 
>   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!!!
>>>> -- 
>>>> View this message in context:
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>>>> Sent from the R help mailing list archive at Nabble.com.
>>>>
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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.
> 
> ______________________________________________
> 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.
> 
> 

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