lmrob.MM {robustbase}R Documentation

Function to compute MM-regression estimators

Description

This function performs RWLS iterations to find an MM-regression estimator

Usage

lmrob.MM(x, y, beta.initial, scale, control)

Arguments

x design matrix (n x p) typically including a column of 1s for the intercept.
y numeric response vector (of length n).
beta.initial numeric vector (of length p) of initial estimate. Usually the result of an S-regression estimator.
scale A robust residual scale estimate. Usually an S-scale estimator.
control A list of control parameters as returned by lmrob.control.

Details

This function is used by lmrob.fit.MM and not intended to be used on its own.

Value

A list with the following elements:

coef The MM-regression estimator
cov The covariance matrix of the MM-regression estimator
control The control list used
scale The residual scale estimate
seed The random number generator seed
converged TRUE if the RWLS iterations converged, FALSE otherwise

Author(s)

Matias Salibian-Barrera

References

Yohai, 1987

See Also

lmrob.fit.MM, lmrob


[Package robustbase version 0.2-8 Index]