covGK: Gnanadesikan-Kettenring estimator for covariance
In robustcov: Collection of Robust Covariance and (Sparse) Precision Matrix Estimators

This routine calculates the Gnanadesikan-Kettenring estimator, diagonal will be MAD

1	covGK(data)

data

the n by p raw data matrix

a matrix with dimension p by p, GK estimator, note that it's not necessarily positive

1	covGK(matrix(rnorm(500),100,5))

robustcov documentation built on Aug. 4, 2021, 5:07 p.m.

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