semdiag (version 0.1.2)

semdiag.musig: Robust covariance estimation

Description

Robust covariance estimation

Usage

semdiag.musig(x, varphi, max_it = 1000)

Arguments

x

Data

varphi

Percentage of data to be down-weighted

max_it

The maximum number of iterations

Value

Estimated mean and covariance matrix