Collection of Robust Covariance and (Sparse) Precision Matrix Estimators

Collection of methods for robust covariance and (sparse) precision matrix estimation based on Loh and Tan (2018) .


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install.packages("robustcov")

0.1 by Yunyi Shen, 2 months ago


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


Authors: Yunyi Shen [aut, cre] , David Simcha [cph]


Documentation:   PDF Manual  


GPL-3 license


Imports Rcpp, glasso, caret

Linking to Rcpp, RcppArmadillo


See at CRAN