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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