R: MM-type estimator for regression

lmrob.fit {robustbase} | R Documentation

## 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 `1`s 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`.

### 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.

### Value

A list with components

`fitted.values` | X beta, i.e., `X %*% coefficients`.
`residuals` | the raw residuals, `y - fitted.values`
`rweights` | robustness weights derived from the final M-estimator residuals (even when not converged).
`rank` |
`degree.freedom` | `n - rank`

`coefficients` | estimated regression coefficient vector
`scale` | the robustly estimated error standard deviation

`cov` | variance-covariance matrix of `coefficients`, if the RWLS iterations have converged (and `control$cov` is not `"none"`).
`control` |

`iter` |

`converged` | logical indicating if the RWLS iterations have converged.
`init.S` | the whole initial S-estimator result, including its own `converged` flag, see `lmrob.S` (only for MM-estimates).
`init` | A similar list that contains the results of intermediate estimates (not for MM-estimates).

### Author(s)

Matias Salibian-Barrera, Martin Maechler and Manuel Koller

### See Also

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

[Package robustbase version 0.92-7 Index]