FarmTest package performs robust multiple testing for means in the presence of known and unknown latent factors (Fan et al, 2019). It implements a series of adaptive Huber methods combined with fast data-drive tuning schemes (Wang et al, 2018; Ke et al, 2019) to estimate model parameters and construct test statistics that are robust against heavy-tailed and/or assymetric error distributions. Extensions to two-sample simultaneous mean comparison problems are also included. As by-products, this package also contains functions that compute adaptive Huber mean and covariance matrix estimators that are of independent interest.
For detailed information on how to use and install see its GitHub page https://github.com/XiaoouPan/FarmTest.
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