covRobust (1.0)

Robust Covariance Estimation via Nearest Neighbor Cleaning.

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

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

Maintainer: Naisyin Wang
Author(s): Naisyin Wang <nwang@stat.tamu.edu> and Adrian Raftery <raftery@stat.washington.edu> with contributions from Chris Fraley <fraley@stat.washington.edu>

License: GPL version 2 or newer

Uses: Does not use any package
Reverse suggests: fPortfolio

Released almost 2019 years ago.