[R] robust correlation in R

Xavier.Abulker@fimat.com Xavier.Abulker at fimat.com
Wed Jun 9 16:59:41 CEST 2004






Dear R user group,

I'm looking for a robust mesure of correlation in R.
I found a very interesting article by Dr Rich Herrington on
http://www.unt.edu/benchmarks/archives/2001/december01/rss.htm and I'd like
to implement
exaclty this method but my problem is that everything is here developped in
R language and is very slow when the correlation matrix is important.
I'm wondering if someone has maybe developped the same (or equivalent)
method using  functions in C like it is currently developped in r for the
covariance and variance.
Thank you for your help.

Xavier



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