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SMEP: Robust Statistics
Josef Perktold edited this page Jun 6, 2013
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location, scale, skew, kurtosis
http://cran.r-project.org/web/packages/rrcov/index.html robust covariance matrices are in scikit-learn
see also nonparametric tests
trimmed t-test, ...
use RLM for testing (ANCOVA) ? RLM might have problems with heavily skewed distributions
- robust Jarque-Bera test for normality:
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http://www.inside-r.org/packages/cran/lawstat/docs/rjb.test references by Gastwirth, and other papers