covOGK {robustcov}

Orthogonalized Gnanadesikan-Kettenring (OGK) estimator for *covariance*

Description

This routine calculates the Orthogonalized Gnanadesikan-Kettenring (OGK) estimator for *covariance*, using scale estimation of Gn, as in Maronna and Zamar

Usage

covOGK(data)

Arguments

data

the n by p raw data matrix

Value

a matrix with dimension p by p, OGK estimator

Examples

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