ROBMV: Stata module for robust multivariate estimation of location and covariance

robmv provides a number of robust multivariate estimators of location and covariance. Supported are the Huber-type M estimator, the S estimator, the MM estimatior, the Minimum Volume Ellipsoid (MVE) estimator, the Minimum Covariance Determinant (MCD) estimator, and the Stahel-Donoho estimator.