fastM

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) <doi:10.1016/j.jmva.2015.11.009>.

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Description file content

Package
fastM
Type
Package
Title
Fast Computation of Multivariate M-Estimators
Version
0.0-4
Date
2018-05-23
Author
Lutz Duembgen, Klaus Nordhausen, Heike Schuhmacher
Maintainer
Klaus Nordhausen
Imports
Rcpp (>= 0.11.0)
LinkingTo
Rcpp, RcppArmadillo
Description
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) .
License
GPL (>= 2)
NeedsCompilation
yes
Packaged
2018-05-24 12:34:29 UTC; Klaus Nordhausen
Repository
CRAN
Date/Publication
2018-05-24 12:45:41 UTC

install.packages('fastM')

0.0-4

3 months ago

Klaus Nordhausen

GPL (>= 2)

Imports

Rcpp (>= 0.11.0)

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