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robeth (version 2.7-6)

R Functions for Robust Statistics

Description

Locations problems, M-estimates of coefficients and scale in linear regression, Weights for bounded influence regression, Covariance matrix of the coefficient estimates, Asymptotic relative efficiency of regression M-estimates, Robust testing in linear models, High breakdown point regression, M-estimates of covariance matrices, M-estimates for discrete generalized linear models.

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Version

Install

install.packages('robeth')

Monthly Downloads

51

Version

2.7-6

License

GPL (>= 2)

Maintainer

A. Randriamiharisoa

Last Published

March 12th, 2020

Functions in robeth (2.7-6)

minvd

Inverts a triangular matrix (double precision)
cerfd

Complemented error function (double precision)
dfrpar

Sets default parameters for regression estimates
cirock

Initial values for the Rocke estimates of covariance
swapd

Interchanges two vectors (double precision)
lymnwt

Nonparametric estimate and confidence intervals for the shift parameter based on the Mann-Whitney test statistic
dfvals

Provide default values for most scalar parameters used by the Robeth subroutines
binprd

Binomial probability distribution
airefq

Asymptotic relative efficiency of a general M-estimate for a model with mu quantitative and nu qualitative covariates
littst

t-test for the shift parameter
lytau2

tau-test for the shift parameter
hysest

Resampling algorithm for the computation of S-estimates
comval

Gives the current values ofthe parameters of the ROBETH subroutine common blocks
cquant

Inverse of the cumulative Chi2-distribution function
gfedca

Diagonal matrices D_G and E_G
gaussd

Cumulative Gaussian distribution function (double precision)
libeth

Computation of Int Chi(s) dPhi(s) when Chi=Psi.Psi/2 and Psi is the Huber function
dotp

Forms the scalar (dot) product of two vectors
libetu

Computation of Int Chi(s) dPhi(s) when Chi is a user-supplied function
gyastp

Fixed-point algorithm for the A-step
mtt2d

Multiplies a lower-triangular matrix by its transpose (double precision)
mtyd

Multiplies an upper-triangular matrix by a vector
dotpd

Forms the scalar (dot) product of two vectors (double precision)
gycstp

Newton-type algorithm for the c-step
kiedch

Diagonal matrices D_M, E_M, D_S, E_S when psi is the Huber function
lilars

Median an median absolute deviation
minv

Inverts a triangular matrix
ingama

Incomplete Gamma-integral function
QD2coef.f

Auxiliary function to find mu and sigma parameter for extended loggamma distribution
mchld

Cholesky decomposition of a symmetric matrix (double precision)
QD2funC.f

Auxiliary function to find lambda parameter for extended loggamma distribution
robeth-package

Interface for the FORTRAN programs developed at the ETH-Zuerich and then at IUMSP-Lausanne
kfascv

Backtransformation of the covariance matrix of the coefficient estimates
mfyd

Multiplies a full matrix by a vector (double precision)
Psi

psi weight function for location and regression
addc

Adds a column vector to a transformed design matrix and updates its QR-decomposition
kiedcu

Diagonal matrices D_M, E_M, D_S, E_S when psi is a user-supplied function
mtt3

Multiplies a triangular matrix by a triangular matrix
msfd

Multiplies a symmetric matrix by a full matrix (double precision)
cfrcov

Computation of fC.fC.inv(AT A) for a given matrix A and scale factor fC
Chi

Chi weight function for location and regression
airef0

Asymptotic relative efficiency of a general M-estimate for a model with mu quantitative covariates with or without a constant term
wygalg

Conjugate gradient algorithm for the computation of the lower-triangular matrix A in the standardized case
lrfctd

Computation of Li, li and lip
lmdd

Median and median absolute deviation
messagena

Print a message when a required argument is missing
Psp

psi' weight function for location and regression
cicloc

Determination of the parameter c of the Huber weight function from the proportion eps of contamination
rywalg

W-algorithm for M-estimates
chi

Chi weight function for location and regression
cifact

Determination of the correction factor for the M-estimate based on Huber weight function
chisq

Cumulative Chi-square distribution function
ryhalg

H-algorithm for M-estimates
rybifr

Bounded influence regression
cynalg

Newton-type algorithm for the computation of an M-estimate of multivariate location and scatter
myhbhe

High breakdown point and high efficiency regression with test for bias
Dbinom

Diagonal matrix D for the binomial case in discrete GLM
dfcomn

Assigns values to the ROBETH parameters included in common blocks
exchd

Exchanges two columns of a symmetric matrix (double precision)
fcum

Cumulative F-distribution function
mhat

Computes the diagonal elements of the hat matrix
mymvlm

Simultaneous computation of the MVE and LMS estimates
psi

psi weight function for location and regression
gintac

Initial values of theta, A and c_i,...,c_n
fstord

Determination of the j-th order statistic
gauss

Cumulative Gaussian distribution function
kfedcc

Diagonal 'check' matrices D_M, E_M, D_S, and E_S
Fn.Exp.f

Parametric estimate of survival cdf
cia2b2

Determination of the parameters a2 and b2 of the Huber weight function from the proportion eps of contamination
scald

Scales a double precision vector by a constant
mss

Multiplies a symmetric matrix by a symmetric matrix
mfragr

Generation and comparison of all regressions on subsets of covariates
xerf

Gaussian density function
rmvc

Removes a column from a transformed design matrix and updates its QR-decomposition
psp

psi' weight function for location and regression
nlgm

Logarithm of the Gamma-function at the point n/2
scal

Scales a vector by a constant
kfedcb

Diagonal hat matrices D_M, E_M, D_S, and E_S
cibeat

Determination of the parameter d of the Huber weight function
mfy

Multiplies a full matrix by a vector
ttaskt

Computes the matrix Ktau
h12

Constructs and/or applies a single elementary Householder transformation
srt1

Sorts the components of a vector in ascending order
glmdev

The total deviance of the fitted generalizrd linear model
tauare

Asymptotic relative efficiency of the tau-test
h12d

Constructs and/or applies a single elementary Householder transformation (double precision)
libet0

Computation of Beta0 = Phi_inv(0.75)
cyfalg

Fixed-point algorithm for the computation of an M-estimate of multivariate location and scatter
ribeth

Computation of the constant Beta when Chi=Psi.Psi/2 and Psi is the Huber function
liclls

Classical estimates of mean and standard deviation
tteign

Computes the eigenvalues of the matrix Ktau
hylmse

Resampling algorithm for the computation of the LMS estimate
to.character

Convert local variable to Fortran character
dpoiss

Diagonal matrix D for the Poisson case in discrete GLM
Wcv

w weight function for covariances
wimedv

Initial value of the matrix A
exch

Exchanges two columns of a symmetric matrix
gymain

Main algorithm
liepsu

Computation of Int Psi(s).Psi(s) dPhi(s) and Int Psi'(s) dPhi(s) when Psi is a user-supplied external function
liepsh

Computation of Int Psi(s).Psi(s) dPhi(s) and Int Psi'(s) dPhi(s) when Psi is the Huber function
kffacv

Correction factor f_H for the covariance matrix of a Huber-type estimate
mff

Multiplies a full matrix by a full matrix
wyfcol

Modified fixed-point algorithm for collinear data in the standardized case
ribetu

Computation of the constant Beta when Chi is a user-supplied function
cygalg

Conjugate gradient algorithm for the computation of an M-estimate of multivariate location and scatter
tisrtc

Permutes the columns of the design matrix: Predictors in omega are placed in the first q positions
kiascv

Covariance matrix of the coefficient estimates of the form f.inv(XT X) in the transformed coordinate system
rilars

Solution of the least absolute residual problem
liindh

Inverts the approximate null distribution of the one-sample Wilcoxon test statistic
lyhdle

Hodges-Lehman estimate and confidence intervals for the center of symmetry based on the one-sample Wilcoxon test
liinds

Inverts the approximate null distribution of the sign test statistic
wpcv

w' weight function for covariances
rho

rho weight function for location and regression
lgama

Logarithm at the Gamma-function at the point x
mirtsr

Computation of (robust) t-statistics for t-directed search
wfshat

Schweppe original weight proposal
poissn

Poisson distribution
nrm2

Forms the Euclidean norm of a vector
mly

Multiplies a lower-triangular matrix by a vector
gytstp

Newton-type algorithm for the theta-step
lyhalg

M-estimate of location with simultaneous estimation of scale
Rho

Rho weight function for location and regression
mffd

Multiplies a full matrix by a full matrix (double precision)
ktaskw

Covariance matrix of the coefficient estimates of the form f.inv(S1) S2 inv(S1)
rysalg

S-algorithm for M-estimates
hyltse

Resampling algorithm for the computation of the LTS estimate
msf1

Multiplies a symmetric matrix by a full matrix when the result is a symmetric matrix
mtt3d

Multiplies a triangular matrix by a triangular matrix (double precision)
mtt1d

Multiplies an upper-triangular matrix by its transpose (double precision)
ktaskv

Covariance matrix of the coefficient estimates of the form f.inv(XT X)
upcv

u' weight function for covariances
mtt2

Multiplies a lower-triangular matrix by its transpose
liindw

Inverts the approximate null distribution of the Mann-Whitney test statistic
wynalg

Newton-Huber algorithm for the computation of the lower-triangular matrix A in the standardized case
userfs

Dummy u user function
nrm2d

Forms the Euclidean norm of a vector (double precision)
rimtrd

Double precision version of RIMTRF
ribet0

Computation of the constant Beta0
permc

Permutes the columns of a matrix by means of transpositions
tfrn2t

Computes the Rn2-test statistic for a linear hypothesis in canonical form
ugl

ub weight function for M-estimates in GLM
srt2

Sorts the components of a vector in ascending order and permutes the components of another vector accordingly
mtt1

Multiplies an upper-triangular matrix by its transpose
msf1d

Multiplies a symmetric matrix by a full matrix when the result is a symmetric matrix
mty

Multiplies an upper-triangular matrix by a vector
msf

Multiplies a symmetric matrix by a full matrix
rimtrf

Upper triangularization (QR-decomposition) of the design matrix and determination of its pseudorank
rynalg

Newton algorithm with adaptive steps for M-estimates
mlyd

Multiplies a lower-triangular matrix by a vector (double precision)
xerp

Density of the norm of a standard Gaussian vector with p components
lywalg

W-algorithm for M-estimate of location
mchl

Cholesky decomposition of a symmetric matrix
mssd

Multiplies a symmetric matrix by a symmetric matrix (double precision)
to.single

Convert local variable to Fortran single precision
vpcv

v' weight function for covariances
tftaut

Computes the tau-test statistic for a linear hypothesis in canonical form
quant

Inverse of the standard Gaussian cumulative distribution function
riclls

Solution of the least squares problem
precd

Algorithmic determination of the smallest double precision positive number x
permv

Permutes the elements of a vector
vcv

v weight function for covariances
rysigm

Iterative algorithm for the computation of an M-estimate of the scale parameter when the residuals are given
www

w weight function
ruben

Cumulative distribution and density function of a linear combination of chi-2 random variables
tquant

Inverse of the cumulative t-distribution function
to.double

Convert local variable to Fortran double precision
wcv

v weight function for covariances
swap

Interchanges two vectors
probst

Cumulative t-distribution function
Upcv

u' weight function for covariances
ucv

u weight function for covariances
to.integer

Convert local variable to Fortran integer
Www

w weight function for covariances
Wpcv

w' weight function for covariances
precs

Algorithmic determination of the smallest double precision positive number x
xsy

Evaluates a quadratic form
userfd

Dummy u user function (double precision)
Ucv

u weight function for covariances
wyfalg

Fixed-point algorithm for the computation of the matrix A
xsyd

Evaluates a quadratic form (double precision)
zemll

Zeng method for censored data
Random

Uniform random number generator
RegtauW.f

Auxiliary function for the computation of QQopt
Qn.Exp.f

Auxiliary function to compute quantiles of survival cdf
Regtau.f

Auxiliary function for the computation of QQopt
cimedv

Initial values for the iterative algorithms implemented in CYFALG, CYNALG, and CYGALG
cerf

Complemented error function (single precision)
hysestw

Resampling algorithm for the computation of weighted S-estimates