Estimator guide

Which estimator should I use?

Situation	Recommended estimator	Reason
n much larger than p and outliers are separable	FastMCD	High-breakdown robust covariance with support diagnostics.
Small sample, heavy tails, p close to or larger than n	RegularizedCauchy	Strong radial downweighting and shrinkage.
Diffuse heavy tails rather than point anomalies	StudentTScatter	Smooth heavy-tail M-estimator.
Shape estimation for elliptical data	RegularizedTyler	Scale-free robust shape estimate.
Unsure which heavy-tail estimator to choose	AutoRobustScatter	Fits candidates and selects with diagnostic or stability score.

Estimator status

Stable prototype APIs:

• FastMCD

• RegularizedCauchy

• StudentTScatter

• RobustOutlierDetector

• robust distance plotting helpers

Experimental APIs:

• HellingerRegularizedTyler

• exact KL/Wiesel variants beyond their current alias/prototype behavior

• automatic model selection scores