robFitConGraph

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) <doi:10.1093/biomet/asu041>. See robFitConGraph() function documentation for further details.

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Description file content

Package
robFitConGraph
Type
Package
Title
Graph-Constrained Robust Covariance Estimation
Version
0.1.0
Author
Stuart Watt, Daniel Vogel
Maintainer
Stuart Watt
Description
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.
License
GPL-3
Encoding
UTF-8
LazyData
true
RoxygenNote
6.1.1
LinkingTo
Rcpp
Imports
Rcpp, mvtnorm, MASS
NeedsCompilation
yes
Packaged
2019-02-03 23:56:37 UTC; stuar
Repository
CRAN
Date/Publication
2019-02-08 12:30:03 UTC

install.packages('robFitConGraph')

0.1.0

2 months ago

Stuart Watt

GPL-3

Imports

Rcpp, mvtnorm, MASS

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