One observation about the following.
> One thing we'd be very interested is the OGK estimator of
> Maronna and Zamar (JASA, 2002). Unfortunately, there, too, some
> of the authors sold their code exclusively to Insightful (the
> S-plus company).
Insightful has implemented the procedure in some way I ignore (actually,
I don't like the way it works), but unfortunately I got not a single dollar
from that!. Anybody is free to implement the method (which is extremely
simple) in whatever language.
Ricardo
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