Stata module for robust multivariate estimation of location and covariance.
To install robmv, type
. net install robmv, replace from(https://raw.githubusercontent.com/benjann/robmv/main/
in Stata. Stata version 11 or newer is required. Furthermore, moremata is
required. To install moremata, type
. ssc install moremata, replace
or
. net install moremata, replace from(https://raw.githubusercontent.com/benjann/moremata/master/)
Main changes:
06feb2021 (version 1.0.5)
- commands -robmv m-, -robmv s-, and -robmv mm- now support standard error
estimation based on influence functions
11jan2021 (version 1.0.4)
- -robmv classic- now estimates standard errors and conficence intervals based
on influence functions; see options -vce()- and -svy()-; influence functions
can be stored using -ifgenerate()-
02jan2021 (version 1.0.3)
- robmv mm now has a -location- option
- correlation matrix is now always returned in e(Corr)
- various smaller changes and fixes
01jan2021 (version 1.0.2)
- robmv mm added
- robmv s failed to fully optimize the final candidates; this is fixed
28dec2020 (version 1.0.1)
- added option -whilferty- in -robmv s-
27dec2020 (version 1.0.0)
- robmv released on GitHub