RE: [R] Robust multivariate regression with rlm

From: <Bill.Venables_at_csiro.au>
Date: Thu 24 Mar 2005 - 18:52:43 EST


lm works for multivariate responses
rlm does not - check what the help file says about the response.

That's about it, really.

Bill Venables.

-----Original Message-----
From: r-help-bounces@stat.math.ethz.ch
[mailto:r-help-bounces@stat.math.ethz.ch] On Behalf Of Markku
Mielityinen
Sent: Thursday, 24 March 2005 5:20 PM
To: r-help@stat.math.ethz.ch
Subject: [R] Robust multivariate regression with rlm

Dear Group,

I am having trouble with using rlm on multivariate data sets. When I call rlm I get

Error in lm.wfit(x, y, w, method = "qr") :

        incompatible dimensions

lm on the same data sets seem to work well (see code example). Am I doing something wrong?

I have already browsed through the forums and google but could not find any related discussions.

I use Windows XP and R Version 2.0.1 (2004-11-15) (if that makes a difference).

Example code:

> Mx

          [,1] [,2]
[1,] 49.10899 45.75513
[2,] 505.92018 48.81037
[3,] 973.30659 50.28478
[4,] 55.99533 508.94504
[5,] 964.96028 513.69579
[6,] 48.25670 975.94972
[7,] 510.21291 967.62767
[8,] 977.12363 978.29216
> My

     [,1] [,2]
[1,] 50 50
[2,] 512 50
[3,] 974 50
[4,] 50 512
[5,] 974 512
[6,] 50 974
[7,] 512 974
[8,] 974 974
> model<-lm(My~Mx)
> model

Call:
lm(formula = My ~ Mx)

Coefficients:

             [,1] [,2]

(Intercept)   0.934727   3.918421
Mx1           1.003517  -0.004202
Mx2          -0.002624   0.998155

> model<-rlm(My~Mx)
Error in lm.wfit(x, y, w, method = "qr") :

        incompatible dimensions
> model<-rlm(My~Mx,psi=psi.bisquare)
Error in lm.wfit(x, y, w, method = "qr") :

        incompatible dimensions

Another example (this one seems to work):

> Mx<-matrix(c(0,0,1,0,0,1),ncol=2,byrow=TRUE)+1
> My<-matrix(c(0,0,1,1,-1,1),ncol=2,byrow=TRUE)+1
> model<-rlm(My~Mx)
> model

Call:
rlm(formula = My ~ Mx)
Converged in 0 iterations

Coefficients:

            [,1] [,2]
(Intercept) 1 -1

Mx1            1    1
Mx2           -1    1

Degrees of freedom: 6 total; 0 residual
Scale estimate: 0

Best regards,

        Markku Mielityinen



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R-help@stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Thu Mar 24 18:56:17 2005

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