lywalg: W-algorithm for M-estimate of location

In robeth: R Functions for Robust Statistics

W-algorithm for M-estimate of location

Description

Robust location estimate with simultaneous estimation of the scale parameter

Usage

lywalg(y, lambda, psp0 = psp(0), expsi = psi, exchi = chi, exrho = rho, 
       sigmai, tol = .dFvGet()$tlo, gam = .dFvGet()$gma, 
       isigma = .dFvGet()$isg, maxit = .dFvGet()$mxt, maxis = .dFvGet()$mxs, 
       nitmon = .dFvGet()$ntm)

Arguments

y	Vector containing the observations
lambda	Initial solution of the location parameter
psp0	Value of psp(0) (first derivative of the psi function)
expsi	User supplied psi function
exchi	User supplied chi function
exrho	User supplied rho function
sigmai	Initial estimate of the scale parameter
tol	Relative precision for the convergence criterion
gam	Relaxation factor. Set 0 < gam < 2.
isigma	If isigma<0, the value of sigma is not changed during the first iteration. If isigma=0, bypasss iteration on sigma (sigmaf=sigmai). If |isigma|>0, sigma is updated using the robeth function rysigm.
maxit	Maximum number of cycles
maxis	Maximum number of iterations for the scale step
nitmon	If nitmon>0 and the iteration counter is a multiple of nitmon, the current value of sigma, theta and delta are printed. If no iteration monitoring is required, set nitmon equal to 0.

Details

The .dFv variables for the default values must be created by a call to the dfvals() function of the robeth package. To see if this variable is available in your R session, type ls(all.names=TRUE). The parameters for psi, chi and rho functions must also be set by a preliminary call to the dfcomn function of the robeth package.

Value

lambda	Final value of the location estimate
nit	Reached number of cycles
sigmaf	Final estimate of sigma
rs	The residual vector

References

Marazzi A. (1993), Algorithm, Routines, and S functions for Robust Statistics, Wadsworth & Brooks/cole, Pacific Grove, California. p.30 and p.83 .

robeth documentation built on Aug. 22, 2023, 9:09 a.m.