I would like to perform a robust correlation on a small sample (n<30).
What is the best estimation method to use?
I tried to get an overview over the plenty methods for robust statistics provided in R – I would be happy if anyone could give me some recommendations
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Best Answer
MASS::cov.rob (link to man page) has two methods for robust covariances, which you can standardize to correlations with cov2cor. @whuber is right that the "best" method will depend on what you want to do with it, though..