Graph-Constrained Robust Covariance Estimation

Contains a single function named robFitConGraph() which includes two algorithms for robust estimation of scatter matrices subject to zero-constraints in its inverse. The methodology is described in Vogel & Tyler (2014) . See robFitConGraph() function documentation for further details.


News

Reference manual

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.

install.packages("robFitConGraph")

0.1.0 by Stuart Watt, 8 months ago


Browse source code at https://github.com/cran/robFitConGraph


Authors: Stuart Watt , Daniel Vogel


Documentation:   PDF Manual  


GPL-3 license


Imports Rcpp, mvtnorm, MASS

Linking to Rcpp


See at CRAN