Collection of Robust Covariance and (Sparse) Precision Matrix Estimators

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Documentation for package ‘robustcov’ version 0.1

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conta_normal Sample contaminated normal
corKendall Kendall's tau
corQuadrant Quadrant correlation coefficients
corSpearman Spearman correlation
covGK Gnanadesikan-Kettenring estimator for *covariance*
covNPD NPD estimator for *covariance* based on Qn
covOGK Orthogonalized Gnanadesikan-Kettenring (OGK) estimator for *covariance*
covSpearmanU SpearmanU estimator for *covariance*
cvglasso Cross validation to chose tuning parameter of glasso
nearPPSD nearest positive semi-definite projection of a matrix
negLLrobOmega -log Likelihood on test set
raltert Alternative multivariate t distribution
rmvnorm Multivariate normal distribution with 0 mean
rmvt Multivariate t distribution
robglasso glasso with robust covariance estimations