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.


Reference manual

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0.1.0 by Stuart Watt, 2 years ago

Browse source code at

Authors: Stuart Watt , Daniel Vogel

Documentation:   PDF Manual  

GPL-3 license

Imports Rcpp, mvtnorm, MASS

Linking to Rcpp

See at CRAN