statsmodels.robust.covariance.CovDetMM.fit#

CovDetMM.fit(maxiter=100)[source]#

Estimate model parameters

Parameters:
maxiterint

Maximum number of iterations in the second stage M-estimation.

Returns:
Instance of a results or holder class.

Notes

This uses CovDetS for the first stage estimation and CovM with fixed scale in the second stage MM-estimation.

TODO: fit options for the first stage CovDetS estimation are missing.