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Hi.
Wang and Raftery have a method for robust covariance estimation via
nearest neighbor cleaning, called nearest neighbor variance estimation
(NNVE), that they claim outperforms the minimum volume ellipsoid (MVE)
estimator
(http://www.stat.washington.edu/raftery/Research/PDF/wang2002.pdf).
SAS/IML has implemented MVE as a call. Wang has implemented a function
for NNVE in R. Has anyone written or heard about SAS code for NNVE?
Thanks!
-- TMK --
"The Macro Klutz"
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