FarmTest

R package FarmTest: Factor Adjusted Robust Multiple Testing. Performs robust multiple testing for means in the presence of known and unknown latent factors. It implements a series of adaptive Huber methods combined with fast data-drive tuning schemes to estimate model parameters and construct test statistics that are robust against heavy-tailed and/or asymetric error distributions. Extensions to two-sample simultaneous mean comparison problems are also included. As by-products, this package also contains functions that compute adaptive Huber mean and covariance matrix estimators that are of independent interest.