[R] Robust estimate of variance

[Prof Brian D Ripley]

On Tue, 9 Feb 1999, Peter ridall wrote:

> Has anybody written or located a robust verion of Var(X)?

I'm not sure what you mean by `robust', precisely, but one of

cov.trob in package MASS in the VR bundle

cov.rob  in package lqs (part of the pre-release of 0.63.3) and
also available as an add-on package in the Windows collection and at
http://www.stats.ox.ac.uk/pub/R

will probably do what you want.  

Robustness for a multivariate problem has several definitions; cov.trob has
high efficiency near the normal, cob.rob has high breakdown point.  For
those familiar with S-PLUS, cov.rob supersedes cov.mve and cov.mcd (and was
written to replace those in V&R3), and has wrappers to emulate them.

-- 
Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272860 (secr)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

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