search for: rmlm

...sed on MCD or MVE covariance estimation (package rrcov). E.g., one can fit an mlm for the iris data as: iris.mod <- lm(cbind(Sepal.Length, Sepal.Width, Petal.Length, Petal.Width) ~ Species, data=iris) What I'd like is something like rlm() in MASS, but handling an mlm, e.g., iris.mod <- rmlm(cbind(Sepal.Length, Sepal.Width, Petal.Length, Petal.Width) ~ Species, data=iris) and returning a vector of observation weights in its result. There's a burgeoning literature on this topic, but I haven't yet found computational methods. Any pointers or suggestions would be appreciated....