Fast Computation of Multivariate M-Estimators
Duembgen's Shape Matrix
tools:::Rd_package_title("fastM")
M-estimator of Location and Scatter Using Weights Coming From the Mult...
Different Algorithms for M-estimation of Scatter Using Weights Coming ...
Symmetrized M-estimator of Scatter Using Weights Coming From the t-dis...
Tyler's Shape Matrix
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>.