Robustness
FAST-LTS (Papers 2000 - Papers 2002 - Abstract - Paper)
Algorithm for carrying out Least Trimmed Squares (LTS) regression on large data sets (FORTRAN).
FAST-LTS IN MATLAB (Papers 2000 - Papers 2002 - Abstract - Paper)
Algorithm for carrying out Least Trimmed Squares (LTS) regression on large data sets (MATLAB).
FAST-LTS IN SPLUS (Papers 2001 - Paper)
The SPLUS and FORTRAN code for carrying out Least Trimmed Squares (LTS) regression on large data sets. This function uses the latest version of the FAST-MCD IN SPLUS. The code provided may cause problems for versions of SPLUS later than 2000.
FAST-MCD (Papers 1999 - Abstract - Paper)
Fast Algorithm for the Minimum Covariance Determinant (MCD) estimator.
Computes highly robust location and scatter matrix (FORTRAN).
FAST-MCD IN MATLAB (Papers 1999 - Abstract - Paper)
Fast Algorithm for the Minimum Covariance Determinant (MCD) estimator.
Computes highly robust location and scatter matrix (MATLAB).
FAST-MCD IN SPLUS (Papers 2001 - Paper)
The SPLUS and FORTRAN code for the Minimum Covariance Determinant (MCD) estimator.
Computes highly robust location and scatter matrix (SPLUS).
HLR (Papers 2003 - Abstract)
The SPLUS code for the MEL and WEMEL estimator (SPLUS).
LIBRA (Papers 2005 - Paper)
The MATLAB Library for Robust Analysis contains several methods for robust calibration e.g.:
  • Robust PCA methods (RAPCA, ROBPCA)
  • Robust PCR method (RPCR)
  • Robust PLS method (RSIMPLS)


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    MC (Papers 2004 - Papers 2005 - Papers 2006 - Paper - Paper - Paper)
    Medcouple functions: MC (2004), LMC (2006), RMC (2006) and ADJOUTLYINGNESS (2005).
    Programmed in MATLAB, SPLUS and R.
    Calculation of the asymptotic variances (2004/2006) is provided in MATHEMATICA.
    MINVOL (Robust Regression and Outlier Detection - Datasets MINVOL)
    Minimum Volume Ellipsoid (MVE) estimator.
    Computes highly robust location and scatter matrix (FORTRAN).
    PROGRESS (Robust Regression and Outlier Detection - Papers 1997 - Abstract - Paper - Datasets PROGRESS)
    Program for robust regression (FORTRAN), last updated 1996.
    Computes least median of squares (LMS) and least trimmed squares (LTS).
    PROGROUP (Papers 1996 - Abstract - Paper)
    Program for robust regression on groups (FORTRAN).
    Computes LMS in a regression model with one categorical covariable.
    Qn (Papers 1992 - Abstract - Paper)
    Location-free scale estimation for univariate data (FORTRAN).
    RDL1 (Papers 1997 - Abstract - Paper)
    Computes robust regression estimates for a regression model with both continuous and binary regressors (SPLUS).
    REMEDIAN (Papers 1990 - Abstract)
    Computes the remedian estimator for large data sets (FORTRAN).
    Sn (Papers 1992 - Abstract - Paper)
    Location-free scale estimation for univariate data (FORTRAN).
    SMALL SAMPLE SIZE ESTIMATORS (Papers 2002 - Paper)
    Robust location and scale estimators in case of small sample sizes (MATLAB).
    TSQUARED (Papers 2002 - Paper)
    Performs a Hotelling Test based on Reweighted MCD Estimates.
    Programs:
    Clustering - Location Depth - Regression Depth - Robustness
    Antwerp Group on Robust & Applied Statistics
    Department of Mathematics and Computer Sciences
    University of Antwerp (UA)
    Middelheimlaan 1, B-2020 Antwerpen, Belgium
     agoras@mail.win.ua.ac.be
    http://www.agoras.ua.ac.be/