HDElliptical - High-Dimensional Methods for Elliptically Symmetric Distributions

Fast, documented implementations of robust estimation, testing, dimension reduction, classification, and clustering methods for high-dimensional elliptically symmetric data. Computational kernels use 'Rcpp' and 'RcppArmadillo'. The package follows methods reviewed in Feng (2026), "High-Dimensional Data Analysis for Elliptically Symmetric Distributions" <https://github.com/flnankai/HDElliptical/releases>.