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)
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?
-- TMK --
"The Macro Klutz"