Spatial sign covariance matrix
Spatial sign covariance matrix.
A matrix with continuous data.
If you have already computed the spatial median plug it in here.
A tolerance level to terminate the process of finding the spatial median. This is set to 1e-09 by default.
The spatial median is at first computed (if not supplied) and then the covariance matrix. This is used in the function
The spatial sign covariance matrix.
R implementation and documentation: Michail Tsagris <email@example.com> and Giorgos Athineou <firstname.lastname@example.org>
A Durre, D Vogel, DE Tyler (2014). The spatial sign covariance matrix with unknown location. Journal of Multivariate Analysis, 130: 107-117. http://arxiv.org/pdf/1307.5706v2.pdf
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