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

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: http://www.nabble.com/How-to-get-robust-M-estimator-of-mult

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

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

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

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

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

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 multiv

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

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.