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Huber Loss w/ Reweighted Iterative Least Squares for robust covariance estimation

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README.md		README.md
huber.py		huber.py

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HUBER-RILS

Reweighted Iterative Least Squares for Huber Loss applied to robust covariance estimation.

See: https://ieeexplore.ieee.org/document/7045924

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Huber Loss w/ Reweighted Iterative Least Squares for robust covariance estimation

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