mloc

Compute the M-estimate of location using an auxiliary estimate of the scale.

Robust penalized (adaptive) elastic net S and M estimators for
linear regression. The adaptive methods are proposed in
Kepplinger, D. (2023) <doi:10.1016/j.csda.2023.107730> and the
non-adaptive methods in
Cohen Freue, G. V., Kepplinger, D., Salibián-Barrera, M., and Smucler, E.
(2019) <doi:10.1214/19-AOAS1269>.
The package implements robust hyper-parameter selection with robust
information sharing cross-validation according to Kepplinger & Wei (2025)
<doi:10.1080/00401706.2025.2540970>.

David Kepplinger

pense

Penalized Elastic Net S/MM-Estimator of Regression

Matías Salibián-Barrera

Gabriela Cohen Freue

mloc function

<dl><dt>x</dt>
<dd>numeric values. Missing values are verbosely ignored.</dd>
<dt>scale</dt>
<dd>scale of the <code>x</code> values. If omitted, uses the <a href="/link/mad()?package=pense&version=2.5.2" data-mini-rdoc="pense::mad()">mad()</a>.</dd>
<dt>rho</dt>
<dd>the \(\rho\) function to use. See <code>rho_function()</code> for available functions.</dd>
<dt>eff</dt>
<dd>desired efficiency under the Normal model.</dd>
<dt>cc</dt>
<dd>value of the tuning constant for the chosen \(\rho\) function.
If specified, overrides the desired efficiency.</dd>
<dt>max_it</dt>
<dd>maximum number of iterations.</dd>
<dt>eps</dt>
<dd>numerical tolerance to check for convergence.</dd></dl>

Arguments

Compute the M-estimate of Location — mloc

<dl>

<dt>x</dt>
<dd>numeric values. Missing values are verbosely ignored.</dd>


<dt>scale</dt>
<dd>scale of the <code>x</code> values. If omitted, uses the <a href='https://rdrr.io/r/stats/mad.html'>mad()</a>.</dd>


<dt>rho</dt>
<dd>the \(\rho\) function to use. See <code>rho_function()</code> for available functions.</dd>


<dt>eff</dt>
<dd>desired efficiency under the Normal model.</dd>


<dt>cc</dt>
<dd>value of the tuning constant for the chosen \(\rho\) function.
If specified, overrides the desired efficiency.</dd>


<dt>max_it</dt>
<dd>maximum number of iterations.</dd>


<dt>eps</dt>
<dd>numerical tolerance to check for convergence.</dd>

</dl>

mloc: Compute the M-estimate of Location

Description

Usage

Value

Arguments

See Also