roblm.S {roblm}R Documentation

S-regression estimators

Description

This function computes the S-regression estimator

Usage

roblm.S(x, y, control)

Arguments

x Design matrix
y Response vector
control list as retruned by roblm.control

Details

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

Value

A list containing the following elements:

coef Vector of S-regression coefficient estimates
cov Covariance matrix of the coefficient estimators
control The control list as given to it
scale The S-scale residual estimate
seed The value of seed

Author(s)

Matias Salibian-Barrera

References

Rousseeuw, P.J. and Yohai, V.J. (1984) Robust regression by means of S-estimators, In Robust and Nonlinear Time Series, J. Franke, W. H"ardle and R. D. Martin (eds.). Lectures Notes in Statistics 26, 256-272, Springer Verlag, New York.

Salibian-Barrera, M. and Yohai, V.J. (2006) A fast algorithm for S-regression estimates, Journal of Computational and Graphical Statistics, in press.


[Package roblm version 0.6 Index]