Robust Fitting of Linear Models
Fit a linear model by robust regression using an M estimator.
## S3 method for class 'formula': rlm(formula, data, weights, \dots, subset, na.action, method = c("M", "MM", "model.frame"), wt.method = c("inv.var", "case"), model = TRUE, x.ret = TRUE, y.ret = FALSE, contrasts = NULL)
## S3 method for class 'default': rlm(x, y, weights, \dots, w = rep(1, nrow(x)), init = "ls", psi = psi.huber, scale.est = c("MAD", "Huber", "proposal 2"), k2 = 1.345, method = c("M", "MM"), wt.method = c("inv.var", "case"), maxit = 20, acc = 1e-4, test.vec = "resid", lqs.control = NULL)
psi.huber(u, k = 1.345, deriv = 0) psi.hampel(u, a = 2, b = 4, c = 8, deriv = 0) psi.bisquare(u, c = 4.685, deriv = 0)
- a formula of the form
y ~ x1 + x2 + ....
- data frame from which variables specified in
formulaare preferentially to be taken.
- a vector of prior weights for each case.
- An index vector specifying the cases to be used in fitting.
- A function to specify the action to be taken if
NAs are found. The
factory-freshdefault action in Ris
na.omit, and can be changed by
- a matrix or data frame containing the explanatory variables.
- the response: a vector of length the number of rows of
- currently either M-estimation or MM-estimation or (for the
formulamethod only) find the model frame. MM-estimation is M-estimation with Tukey's biweight initialized by a specific S-estimator. See the
- are the weights case weights (giving the relative importance of case, so a weight of 2 means there are two of these) or the inverse of the variances, so a weight of two means this error is half as variable?
- should the model frame be returned in the object?
- should the model matrix be returned in the object?
- should the response be returned in the object?
- optional contrast specifications: se
- (optional) initial down-weighting for each case.
- (optional) initial values for the coefficients OR a method to find
initial values OR the result of a fit with a
coefcomponent. Known methods are
"ls"(the default) for an initial least-squares fit using weights
- the psi function is specified by this argument. It must give
(possibly by name) a function
g(x, ..., deriv)that for
deriv=0returns psi(x)/x and for
deriv=1returns psi'(x). Tuning constants will be pa
- method of scale estimation: re-scaled MAD of the residuals (default)
or Huber's proposal 2 (which can be selected by either
- tuning constant used for Huber proposal 2 scale estimation.
- the limit on the number of IWLS iterations.
- the accuracy for the stopping criterion.
- the stopping criterion is based on changes in this vector.
- additional arguments to be passed to
rlm.defaultor to the
- An optional list of control values for
- numeric vector of evaluation points.
- k, a, b, c
- tuning constants.
1: compute values of the psi function or of its first derivative.
Fitting is done by iterated re-weighted least squares (IWLS).
Psi functions are supplied for the Huber, Hampel and Tukey bisquare
psi.bisquare. Huber's corresponds to a convex optimization
problem and gives a unique solution (up to collinearity). The other
two will have multiple local minima, and a good starting point is
method = "MM" selects a specific set of options which
ensures that the estimator has a high breakdown point. The initial set
of coefficients and the final scale are selected by an S-estimator
k0 = 1.548; this gives (for $n \gg p$)
breakdown point 0.5.
The final estimator is an M-estimator with Tukey's biweight and fixed
scale that will inherit this breakdown point provided
c > k0;
this is true for the default value of
c that corresponds to
95% relative efficiency at the normal. Case weights are not
method = "MM".
- An object of class
"lm". Note that the
df.residualcomponent is deliberately set to
NAto avoid inappropriate estimation of the residual scale from the residual mean square by
"lm"methods. The additional components not in an
s the robust scale estimate used w the weights used in the IWLS process psi the psi function with parameters substituted conv the convergence criteria at each iteration converged did the IWLS converge? wresid a working residual, weighted for
P. J. Huber (1981) Robust Statistics. Wiley.
F. R. Hampel, E. M. Ronchetti, P. J. Rousseeuw and W. A. Stahel (1986) Robust Statistics: The Approach based on Influence Functions. Wiley.
A. Marazzi (1993) Algorithms, Routines and S Functions for Robust Statistics. Wadsworth & Brooks/Cole.
Venables, W. N. and Ripley, B. D. (2002) Modern Applied Statistics with S. Fourth edition. Springer.
summary(rlm(stack.loss ~ ., stackloss)) rlm(stack.loss ~ ., stackloss, psi = psi.hampel, init = "lts") rlm(stack.loss ~ ., stackloss, psi = psi.bisquare)