covGK {robustcov}

Gnanadesikan-Kettenring estimator for *covariance*

Description

This routine calculates the Gnanadesikan-Kettenring estimator, diagonal will be MAD

Usage

covGK(data)

Arguments

data

the n by p raw data matrix

Value

a matrix with dimension p by p, GK estimator, note that it's not necessarily positive

Examples

covGK(matrix(rnorm(500),100,5))