lmRob.control: Control Parameters for Robust Linear Regression

In robust: Port of the S+ "Robust Library"

Control Parameters for Robust Linear Regression

Description

Allows the users to set values affecting the estimation procedure for robust regression in lmRob.

Usage

lmRob.control(tlo = 1e-4, tua = 1.5e-06, mxr = 50, mxf = 50, mxs = 50,
     tl = 1e-06, estim = "Final", initial.alg = "Auto", final.alg = "MM",
     seed = 1313, level = 0.1, efficiency = 0.9,
     weight = c("Optimal", "Optimal"), trace = TRUE)

Arguments

tlo	the relative tolerance in the iterative algorithms.
tua	the tolerance used for the determination of pseudo-rank.
mxr	the maximum number of iterations in the refinement step.
mxf	the maximum number of iterations for computing final coefficient estimates.
mxs	the maximum number of iterations for computing scale estimate.
tl	the tolerance for scale denominators. If a scale estimate becomes less than tl, the scale estimate is set equal to tl.
estim	parameter that determines the type of estimator to be computed. If estim="Initial", only the initial estimates are computed; if estim="Final", then final estimates are returned.
initial.alg	parameter that determines the algorithm for initial estimates. Valid choices are "Auto" for data-dependent algorithm, "Random" for random resampling, "Exhaustive" for exhaustive resampling, "Fast" for fast procedure, and "Genetic" for genetic algorithm. By default, lmRob uses "Auto".
final.alg	parameter that determines the type of the final estimates. Valid choices are "Adaptive" for the robust efficient weighted least squares as proposed in Gervini and Yohai (1999), and "MM" for MM-estimate as proposed in Yohai, Stahel and Zamar (1991). By default, lmRob uses "MM".
seed	seed parameter used in the random sampling and genetic algorithm for the computation of initial estimates.
weight	a character vector that determines the type of loss functions to be used. The first determines the loss function used for the initial estimates, and the second determines the loss function used for the final M-estimates. Valid choices are "Optimal" and "Bisquare".
level	the level of significance of the test for bias of the final MM-estimates, if desired later on.
efficiency	the asymptotic efficiency of the final estimate.
trace	a logical flag: if TRUE, the remaining computing time will be printed.

Value

a list containing the values used for each of the control parameters.

See Also

lmRob.

Examples

data(stack.dat)
my.control <- lmRob.control(weight=c("Bisquare","Optimal"))
stack.bo <- lmRob(Loss ~ ., data = stack.dat, control = my.control)

robust documentation built on Sept. 11, 2024, 5:16 p.m.