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>.

Package details

AuthorLutz Duembgen, Klaus Nordhausen, Heike Schuhmacher
MaintainerKlaus Nordhausen <[email protected]>
LicenseGPL (>= 2)
Version0.0-4
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("fastM")

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fastM documentation built on May 2, 2019, 4:01 a.m.