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msalibian
RobStatTM:Robust Statistics: Theory and Methods
Companion package for the book: "Robust Statistics: Theory and Methods, second edition", <http://www.wiley.com/go/maronna/robust>. This package contains code that implements the robust estimators discussed in the recent second edition of the book above, as well as the scripts reproducing all the examples in the book.
Maintained by Matias Salibian-Barrera. Last updated 21 days ago.
robustrobust-estimationrobust-regressionrobust-statisticsrobustnessstatisticsfortranopenblas
17 stars 10.23 score 84 scripts 8 dependents
convexfi
fitHeavyTail:Mean and Covariance Matrix Estimation under Heavy Tails
Robust estimation methods for the mean vector, scatter matrix, and covariance matrix (if it exists) from data (possibly containing NAs) under multivariate heavy-tailed distributions such as angular Gaussian (via Tyler's method), Cauchy, and Student's t distributions. Additionally, a factor model structure can be specified for the covariance matrix. The latest revision also includes the multivariate skewed t distribution. The package is based on the papers: Sun, Babu, and Palomar (2014); Sun, Babu, and Palomar (2015); Liu and Rubin (1995); Zhou, Liu, Kumar, and Palomar (2019); Pascal, Ollila, and Palomar (2021).
Maintained by Daniel P. Palomar. Last updated 2 years ago.
cauchycovariance-estimationcovariance-matrixheavy-tailed-distributionsoutliersrobust-estimationstudent-ttyler
22 stars 6.27 score 28 scripts 1 dependents