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Southworth, Harry | 27 Jan 2011 13:26

cov.SRocke

Dear all,

The book by Maronna, Martin and Yohai recommends use of a function,
cov.SRocke, for computing an S-estimate of covariance in high
dimensional problems.

The software was located at an old Insightful address that no longer
seems active.

Does anyone have the code, know where I can find a function that does
the same thing, or have a reference that argues for an alternative
method.

Thanks,
Harry

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Valentin Todorov | 27 Jan 2011 15:18
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Re: cov.SRocke

Dear Harry,

Have a look at the function CovSest() in package rrcov, for example:

library(rrcov)
data(hbk)
CovSest(hbk, method="rocke")

With method="rocke" the function uses exactly the same algorithm you are
referring to. Similar, but another implementation, is the function CovMest()
in the same package.

Best regards,
Valentin

On Thu, Jan 27, 2011 at 1:26 PM, Southworth, Harry <
Harry.Southworth@...> wrote:

> Dear all,
>
> The book by Maronna, Martin and Yohai recommends use of a function,
> cov.SRocke, for computing an S-estimate of covariance in high
> dimensional problems.
>
> The software was located at an old Insightful address that no longer
> seems active.
>
> Does anyone have the code, know where I can find a function that does
> the same thing, or have a reference that argues for an alternative
> method.
(Continue reading)

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Southworth, Harry | 27 Jan 2011 17:04

Re: cov.SRocke

Thank you! Much appreciated.

Harry

From: Valentin Todorov [mailto:valentin.to@...]
Sent: 27 January 2011 14:18
To: Southworth, Harry
Cc: r-sig-robust@...
Subject: Re: [RsR] cov.SRocke

Dear Harry,

Have a look at the function CovSest() in package rrcov, for example:

library(rrcov)
data(hbk)
CovSest(hbk, method="rocke")

With method="rocke" the function uses exactly the same algorithm you are
referring to. Similar, but another implementation, is the function
CovMest() in the same package.

Best regards,
Valentin

On Thu, Jan 27, 2011 at 1:26 PM, Southworth, Harry
<Harry.Southworth@...> wrote:

Dear all,
(Continue reading)

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