lmrobdetMM.RFPE: Robust Final Prediction Error

In RobStatTM: Robust Statistics: Theory and Methods

Robust Final Prediction Error

Description

This function computes the robust Final Prediction Errors (RFPE) for a robust regression fit using M-estimates.

Usage

lmrobdetMM.RFPE(object, scale = NULL, bothVals = FALSE)

Arguments

object	an object of class lmrobdetMM or lmrobM.
scale	a numeric value specifying the scale estimate used to compute the RFPE. Usually this should be the scale estimate from an encompassing model. If NULL, the scale estimate in object is used.
bothVals	a logical value: if TRUE the function returns the two terms of the RFPE expression separately (equation (5.39) in the reference book); otherwise, the value of RFPE is returned.

Value

If the argument bothVals is FALSE, the robust final prediction error (numeric). Otherwise, the two terms of the RFPE expression in equation (5.39), Section 5.6.2 of Maronna et al. (2019), http://www.wiley.com/go/maronna/robust, are returned separately in a list with components named minRhoMM.C and penaltyRFPE

Author(s)

Victor Yohai, [e-mail], Matias Salibian-Barrera, [e-mail]

References

http://www.wiley.com/go/maronna/robust

See Also

lmrobdetMM

Examples

data(coleman, package='robustbase')
m2 <- lmrobdetMM(Y ~ ., data=coleman)
lmrobdetMM.RFPE(m2)

RobStatTM documentation built on Nov. 28, 2023, 1:11 a.m.