Sboot_multireg {FRB}R Documentation

Fast and Robust Bootstrap for S-Estimates of Multivariate Regression

Description

Calculates bootstrapped S-estimates of multivariate regression and corresponding bootstrap confidence intervals using the Fast and Robust Bootstrap method.

Usage

Sboot_multireg(X, Y, R, conf=0.95, ests = Sest_multireg(X, Y))

Arguments

X a matrix or data frame containing the explanatory variables (possibly including intercept).
Y a matrix or data frame containing the response variables.
R number of bootstrap samples
conf level of the bootstrap confidence intervals. Default is conf=0.95
ests S-estimates as returned by Sest_multireg()

Details

Called by FRBmultiregS and typically not to be used on its own. It requires the result of Sest_multireg applied on X and Y, supplied through the argument ests. If ests is not provided, Sest_multireg will be called with default arguments.

The fast and robust bootstrap was first developed by Salibian-Barrera and Zamar (2002) for univariate regression MM-estimators.

The value centered gives a matrix with R columns and p*q+q*q rows (p is the number of explanatory variables and q the number of response variables), containing the recalculated S-estimates of the regression coefficients and the error covariance matrix. Each column represents a different bootstrap sample. The first p*q rows are the coefficient estimates, the next q*q rows represent the covariance estimate (the estimates are vectorized, i.e. columns stacked on top of each other). The estimates are centered by the original estimates, which are also returned through vecest in vectorized form.

The output list further contains bootstrap standard errors, as well as so-called basic bootstrap confidence intervals and bias corrected and accelerated confidence intervals (Davison and Hinkley, 1997, p.194 and p.204 respectively).

Value

A list containing the following components:

centered a matrix of all fast/robust bootstrap recalculations where the recalculations are centered by original estimates (see Details)
vecest a vector containing the original estimates (see Details)
SE bootstrap standard errors for the estimates in vecest
CI.bca a matrix containing bias corrected and accelerated confidence intervals corresponding to the estimates in vecest (first column are lower limits, second column are upper limits)
CI.basic a matrix containing basic bootstrap intervals corresponding to the estimates in vecest (first column are lower limits, second column are upper limits)

Author(s)

Gert Willems and Ella Roelant

References

See Also

FRBmultiregS, Sest_multireg, MMboot_multireg

Examples

data(schooldata)
school.x <- data.matrix(schooldata[,1:5])
school.y <- data.matrix(schooldata[,6:8])

#computes 1000 bootstrap recalculations starting from the S-estimator
#obtained from Sest_multireg()
bootres <- Sboot_multireg(school.x,school.y,R=1000)

[Package FRB version 1.4 Index]