Fast Computation of Multivariate M-Estimators

Implements the new algorithm for fast computation of M-scatter matrices using a partial Newton-Raphson procedure for several estimators. The algorithm is described in Duembgen, Nordhausen and Schuhmacher (2016) .


Reference manual

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0.0-4 by Klaus Nordhausen, 3 years ago

Browse source code at

Authors: Lutz Duembgen , Klaus Nordhausen , Heike Schuhmacher

Documentation:   PDF Manual  

GPL (>= 2) license

Imports Rcpp

Linking to Rcpp, RcppArmadillo

See at CRAN