lmRob.control: Control Parameters for Robust Linear Regression

Description

Allows the users to set values affecting the estimation procedure for robust regression in lmRob.

Usage

lmRob.control(tlo = 1e-4, tua = 1.5e-06, mxr = 50, mxf = 50, mxs = 50, tl = 1e-06, estim = "Final", initial.alg = "Auto", final.alg = "MM", seed = 1313, level = 0.1, efficiency = 0.9, weight = c("Optimal", "Optimal"), trace = TRUE)

Arguments

tlo

the relative tolerance in the iterative algorithms.

tua

the tolerance used for the determination of pseudo-rank.

mxr

the maximum number of iterations in the refinement step.

mxf

the maximum number of iterations for computing final coefficient estimates.

mxs

the maximum number of iterations for computing scale estimate.

the tolerance for scale denominators. If a scale estimate becomes less than tl, the scale estimate is set equal to tl.

estim

parameter that determines the type of estimator to be computed. If estim="Initial", only the initial estimates are computed; if estim="Final", then final estimates are returned.

initial.alg

parameter that determines the algorithm for initial estimates. Valid choices are "Auto" for data-dependent algorithm, "Random" for random resampling, "Exhaustive" for exhaustive resampling, "Fast" for

final.alg

parameter that determines the type of the final estimates. Valid choices are "Adaptive" for the robust efficient weighted least squares as proposed in Gervini and Yohai (1999), and "MM" for MM-estimate as proposed in Yohai, Stahe

seed

seed parameter used in the random sampling and genetic algorithm for the computation of initial estimates.

weight

a character vector that determines the type of loss functions to be used. The first determines the loss function used for the initial estimates, and the second determines the loss function used for the final M-estimates. Valid choices are "Optimal

level

the level of significance of the test for bias of the final MM-estimates, if desired later on.

efficiency

the asymptotic efficiency of the final estimate.

trace

a logical flag: if TRUE, the remaining computing time will be printed.

Value

a list containing the values used for each of the control parameters.

Examples

Run this code

data(stack.dat)
my.control <- lmRob.control(weight=c("Bisquare","Optimal")) 
stack.bo <- lmRob(Loss ~ ., data = stack.dat, control = my.control)

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