This class, derived from the virtual class "CovRobust" accomodates constrained M-Estimates of multivariate location and scatter based on the translated biweight function (‘t-biweight’) using a High breakdown point initial estimate (Minimum Covariance Determinant - ‘Fast MCD’)
Objects can be created by calls of the form
but the usual way of creating
CovMest objects is a call to the function
CovMest which serves as a constructor.
Object of class
"vector" - vector of weights (v)
"Cov", by class
No methods defined with class "CovMest" in the signature.
Valentin Todorov email@example.com
Todorov V & Filzmoser P (2009), An Object Oriented Framework for Robust Multivariate Analysis. Journal of Statistical Software, 32(3), 1–47. URL http://www.jstatsoft.org/v32/i03/.