robFitConGraph: Graph-Constrained Robust Covariance Estimation

Contains a function by the same name, which provides two types of robust t-M-estimators of scatter subject to zero-constraints in the inverse. The methodology is described in Vogel & Tyler (2014) <doi:10.1093/biomet/asu041>. See the robFitConGraph function documentation for further details. A tutorial including background information is given by Vogel, Watt & Wiedemann (2022) <arXiv:2204.04291>.

install.packages("robFitConGraph")

Try the robFitConGraph package in your browser