SMEP: Robust Statistics

SMEP: Robust Statistics

Descriptive Statistics

univariate

location, scale, skew, kurtosis

multivariate

http://cran.r-project.org/web/packages/rrcov/index.html robust covariance matrices are in scikit-learn

Robust Hypothesis Testing

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:

http://www.inside-r.org/packages/cran/lawstat/docs/rjb.test references by Gastwirth, and other papers