nl.robcorrts: Robust two stage estimate

In nlr: Nonlinear Regression Modelling using Robust Methods

Description

Robust Two stage estimate for nonlinear regreession model with autocorrelated error. dfr.robcorrts is derivative free version.

Usage

nl.robcorrts(formula, data, start = getInitial(formula, data), 
control = nlr.control(tolerance = 0.001, minlanda = 1/2^10, 
maxiter = 25 * length(start)), correlation =  list(StructName = "NAN",
manualcorr = NULL), robfunc, ...)

Arguments

formula	nl.form object of the nonlinear function model. See nl.form object.
data	list of data with the response and predictor as name of variable.
start	list of starting value parameter, name of parameters must be represented as names of variable in the list.
control	nlr.control object, include tolerance, maxiter,... see nlr.control.
correlation	correlation structure, at the moment parameter of AR(p) process.
robfunc	nl.form object of robust function.
...	any other argument pass to formula or robfunc.

Details

In first stage nonlinear regression parameter estimate by robust MM method, and in second stage autocorrelation structure estimate and finally the generalized MM-estimates the function model parameters.

Value

t2st <- nlmest.NLM(formula, data=data, start=st,robfunc=robfunc,vm=vmat,rm=rmat,control=control,...) result <- list(fited=t2st,tm=tm)

fited	nl.fitt.rgn object generated by nlmest.NLM function.
tm	fitted time series model for residuals.

Note

This function currently run with AR process. The classic estimate is don by nl.corrts function. This function call from nlr, due to compatibility it is more efficient to call nlr by user rather than this function explicitly.

Author(s)

Hossein Riazoshams, Jul 2009. Email: [e-mail] URL http://www.riazoshams.com/nlr/

References

Riazoshams, H., Midi, H., Sharipov, O. S.H, (2010). The Performance of Robust Two Stage Estimator in Nonlinear Regression with autocorrelated Error, Communications in Statistics - Simulation and Computation, 39: 1251-1268.

See Also

nl.corrts, nlmest.NLM, nl.robcorrts, nlsqr.gn, nl.fitt.gn, nlr.control

Examples

xr = trade.ir[, 1]
yr = trade.ir[, 2]
a1 <-  nl.robcorrts( nlrobj5[[18]],data=list(xr = xr, yr = yr),
correlation=list(StructName="corAR1"),
robfunc = nl.robfuncs[["hampel"]])
a1$parameters 

nlr documentation built on July 31, 2019, 5:09 p.m.