heplots (version 1.3-8)

robmlm: Robust Fitting of Multivariate Linear Models

Description

Fit a multivariate linear model by robust regression using a simple M estimator.

These S3 methods are designed to provide a specification of a class of robust methods which extend mlms, and are therefore compatible with other mlm extensions, including Anova and heplot.

Usage

robmlm(X, ...)

# S3 method for formula robmlm(formula, data, subset, weights, na.action, model = TRUE, contrasts = NULL, ...)

# S3 method for default robmlm(X, Y, w, P = 2 * pnorm(4.685, lower.tail = FALSE), tune, max.iter = 100, psi = psi.bisquare, tol = 1e-06, initialize, verbose = FALSE, ...)

# S3 method for robmlm print(x, ...)

# S3 method for summary.robmlm print(x, ...)

# S3 method for robmlm summary(object, ...)

Arguments

formula

a formula of the form cbind(y1, y2, ...) ~ x1 + x2 + ....

data

a data frame from which variables specified in formula are preferentially to be taken.

subset

An index vector specifying the cases to be used in fitting.

weights

a vector of prior weights for each case.

na.action

A function to specify the action to be taken if NAs are found. The 'factory-fresh' default action in R is na.omit, and can be changed by options(na.action=).

model

should the model frame be returned in the object?

contrasts

optional contrast specifications; see lm for details.

other arguments, passed down. In particular relevant control arguments can be passed to the to the robmlm.default method.

X

for the default method, a model matrix, including the constant (if present)

Y

for the default method, a response matrix

w

prior weights

P

two-tail probability, to find cutoff quantile for chisq (tuning constant); default is set for bisquare weight function

tune

tuning constant (if given directly)

max.iter

maximum number of iterations

psi

robustness weight function; psi.bisquare is the default

tol

convergence tolerance, maximum relative change in coefficients

initialize

modeling function to find start values for coefficients, equation-by-equation; if absent WLS (lm.wfit) is used

verbose

show iteration history? (TRUE or FALSE)

x

a robmlm object

object

a robmlm object

Value

An object of class "robmlm" inheriting from c("mlm", "lm").

This means that the returned "robmlm" contains all the components of "mlm" objects described for lm, plus the following:

weights

final observation weights

iterations

number of iterations

converged

logical: did the IWLS process converge?

%% ...

The generic accessor functions coefficients, effects, fitted.values and residuals extract various useful features of the value returned by robmlm.

Details

Fitting is done by iterated re-weighted least squares (IWLS), using weights based on the Mahalanobis squared distances of the current residuals from the origin, and a scaling (covariance) matrix calculated by cov.trob. The design of these methods were loosely modeled on rlm.

An internal vcov.mlm function is an extension of the standard vcov method providing for observation weights.

References

A. Marazzi (1993) Algorithms, Routines and S Functions for Robust Statistics. Wadsworth & Brooks/Cole.

See Also

rlm, cov.trob

Examples

# NOT RUN {
##############
# Skulls data

# make shorter labels for epochs and nicer variable labels in heplots
Skulls$epoch <- factor(Skulls$epoch, labels=sub("c","",levels(Skulls$epoch)))
# variable labels
vlab <- c("maxBreadth", "basibHeight", "basialLength", "nasalHeight")

# fit manova model, classically and robustly
sk.mod <- lm(cbind(mb, bh, bl, nh) ~ epoch, data=Skulls)
sk.rmod <- robmlm(cbind(mb, bh, bl, nh) ~ epoch, data=Skulls)

# standard mlm methods apply here
coefficients(sk.rmod)

# index plot of weights
plot(sk.rmod$weights, type="h", xlab="Case Index", ylab="Robust mlm weight", col="gray")
points(sk.rmod$weights, pch=16, col=Skulls$epoch)
axis(side=1, at=15+seq(0,120,30), labels=levels(Skulls$epoch), tick=FALSE, cex.axis=1)

# heplots to see effect of robmlm vs. mlm
heplot(sk.mod, hypotheses=list(Lin="epoch.L", Quad="epoch.Q"), 
    xlab=vlab[1], ylab=vlab[2], cex=1.25, lty=1)
heplot(sk.rmod, hypotheses=list(Lin="epoch.L", Quad="epoch.Q"), 
    add=TRUE, error.ellipse=TRUE, lwd=c(2,2), lty=c(2,2), 
    term.labels=FALSE, hyp.labels=FALSE, err.label="")

##############
# Pottery data

pottery.mod <- lm(cbind(Al,Fe,Mg,Ca,Na)~Site, data=Pottery)
pottery.rmod <- robmlm(cbind(Al,Fe,Mg,Ca,Na)~Site, data=Pottery)
Anova(pottery.mod)
Anova(pottery.rmod)

# index plot of weights
plot(pottery.rmod$weights, type="h")
points(pottery.rmod$weights, pch=16, col=Pottery$Site)

# heplots to see effect of robmlm vs. mlm
heplot(pottery.mod, cex=1.3, lty=1)
heplot(pottery.rmod, add=TRUE, error.ellipse=TRUE, lwd=c(2,2), lty=c(2,2), 
    term.labels=FALSE, err.label="")

###############
# Prestige data

# treat women and prestige as response variables for this example
prestige.mod <- lm(cbind(women, prestige) ~ income + education + type, data=Prestige)
prestige.rmod <- robmlm(cbind(women, prestige) ~ income + education + type, data=Prestige)

coef(prestige.mod)
coef(prestige.rmod)
# how much do coefficients change?
round(coef(prestige.mod) - coef(prestige.rmod),3)

# pretty plot of case weights
plot(prestige.rmod$weights, type="h", xlab="Case Index", ylab="Robust mlm weight", col="gray")
points(prestige.rmod$weights, pch=16, col=Prestige$type)
legend(0, 0.7, levels(Prestige$type), pch=16, col=palette()[1:3], bg="white")

heplot(prestige.mod, cex=1.4, lty=1)
heplot(prestige.rmod, add=TRUE, error.ellipse=TRUE, lwd=c(2,2), lty=c(2,2), 
    term.labels=FALSE, err.label="")


# }