robustbase (version 0.2-8)

lmrob.MM: Function to compute MM-regression estimators

Description

This function performs RWLS iterations to find an MM-regression estimator

Usage

lmrob.MM(x, y, beta.initial, scale, control)

Arguments

x

design matrix ($n \times p$) typically including a column of 1s for the intercept.

y

numeric response vector (of length $n$).

beta.initial

numeric vector (of length $p$) of initial estimate. Usually the result of an S-regression estimator.

scale

A robust residual scale estimate. Usually an S-scale estimator.

control

A list of control parameters as returned by lmrob.control.

Value

• A list with the following elements:
• coef
  The MM-regression estimator
• cov
  The covariance matrix of the MM-regression estimator
• control
  The control list used
• scale
  The residual scale estimate
• seed
  The random number generator seed
• converged
  TRUE if the RWLS iterations converged, FALSE otherwise

Details

This function is used by lmrob.fit.MM and not intended to be used on its own.

References

Yohai, 1987

See Also

lmrob.fit.MM, lmrob