fastM

MaRDI QIDQ28031swMATHCRANFDO

Authors Lutz Duembgen, Klaus Nordhausen, Heike Schuhmacher

Last update 27 March 2025

Copyright license GNU General Public License, version 2.0, GNU General Public License, version 3.0

Software version identifier 0.0-4, PACKAGES.rds, 0.0-1, 0.0-2, 0.0-3, 0.0-5

Official website https://cran.r-project.org/web/packages/fastM/index.html

Source code repository https://github.com/cran/fastM

Description

Implements the new algorithm for fast computation of M-scatter matrices using a partial Newton-Raphson procedure for several estimators. The algorithm is described in Duembgen, Nordhausen and Schuhmacher (2016) <doi:10.1016/j.jmva.2015.11.009>.

Cites work

• New algorithms for <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" altimg="si7.gif" display="inline" overflow="scroll"><mml:mi>M</mml:mi></mml:math>-estimation of multivariate scatter and location

Cited in

(9)

• robFitConGraph
• ggm
• ICSNP
• Gini covariance matrix and its affine equivariant version
• gmm
• geeM
• smoothmest
• geex
• New algorithms for M-estimation of multivariate scatter and location

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