covRobust (1.1-3)

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Robust Covariance Estimation via Nearest Neighbor Cleaning.

http://cran.r-project.org/web/packages/covRobust

The cov.nnve() function implements robust covariance estimation by the nearest neighbor variance estimation (NNVE) method of Wang and Raftery (2002) .

Maintainer: Hana Sevcikova
Author(s): Naisyin Wang <nwangaa@umich.edu> and Adrian Raftery <raftery@uw.edu> with contributions from Chris Fraley <fraley@uw.edu>

License: GPL (>= 2)

Uses: Does not use any package
Reverse suggests: fPortfolio

Released about 2 years ago.

3 previous versions

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