R package pyinit

An R package implementing the Pena-Yohai strategy (Pena & Yohai, 1999) to obtain an initial estimator for robust S-Estimators of Regression.

References

Pena, D., & Yohai, V.. (1999). A Fast Procedure for Outlier Diagnostics in Large Regression Problems. Journal of the American Statistical Association, 94(446), 434-445. (http://doi.org/10.2307/2670164)