[RsR] OGK covariance estimator

But indeed, that shouldn't be a problem, since I think one
should program the OGK using R (S) code alone {just using
eigen() and other matrix operations},
and have the univariate scale estimate be a plug-in, i.e.,
a function argument.  There, one could use  Qn, Sn  {I now have
these two in the not yet-released package on "basic robust statistic"},
Martin, we are working now on a fast implementation of the
Qn, using C++ code in R. Have you done that similarly?
the tau-estimate (from the 2002 JASA paper) or any other
consistent scale estimate -- ideally by passing it as an R
function to the ``cov.okg(...)'' function {or should that be
 ``covRob(..., method="OGK")'' ?}.

Martin Maechler, ETH Zurich

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[RsR] OGK covariance estimator

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