robustbase (version 0.92-7)

lmrob.fit: MM-type estimator for regression

Description

Compute MM-type estimators of regression: An S-estimator is used as starting value, and an M-estimator with fixed scale and redescending psi-function is used from there. Optionally a D-step (Design Adaptive Scale estimate) as well as a second M-step is calculated.

Usage

lmrob.fit(x, y, control, init = NULL, mf = NULL)

Arguments

x

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

y

numeric response vector (of length $n$).

control

a list of control parameters as returned by lmrob.control, used for both the initial S-estimate and the subsequent M- and D-estimates.

init

optional list of initial estimates. See Details.

mf

(optional) a model frame as returned by model.frame, used only to compute outlier statistics, see outlierStats.

Value

A list with components

Details

This function is the basic fitting function for MM-type estimation, called by lmrob and typically not to be used on its own.

If given, init must be a list of initial estimates containing at least the initial coefficients and scale as coefficients and scale. Otherwise it calls lmrob.S(..) and uses it as initial estimator.

See Also

lmrob, lmrob..M..fit, lmrob..D..fit, lmrob.S