Estimating robust covariance matrices

The standard/usual way of estimating covariance matrices involves calculating sums involving the cross products of all pairs of variables. This is obviously greatly impacted by outliers. A single outlier on variable contaminates all the covariances involving . In order to estimate robust covariance matrices, we will use the robust package.

Getting ready

In order to run this recipe, you need to install the robust package using install.packages("robust").

How to do it...

In this recipe, we will generate random vectors according...