The code available in this page implements the fast-tau algorithm as
proposed in
Salibian-Barrera, M., Willems, G. and Zamar, R.H. (2008).
The fast-tau estimator for regression.
Journal of Computational
and Graphical Statistics, 17, 659-682.
It
works in
R
and both in
MATLAB and its open-source cousin OCTAVE.
This is joint work with Gert Willems.