RE: [R] Robust multivariate regression with rlm

From: Prof Brian Ripley <ripley_at_stats.ox.ac.uk>
Date: Thu 24 Mar 2005 - 19:12:30 EST

On Thu, 24 Mar 2005 Bill.Venables@csiro.au wrote:

> lm works for multivariate responses
> rlm does not - check what the help file says about the response.
>
> That's about it, really.

Actually lm() works for multiple responses, that is it fits each column of the response separately by least squares. It does not do multivariate regression in any real sense.

You can apply rlm to each column of the response, just as lm does. Because different outliers will appear in each column, there is no benefit in doing the columns in parallel as lm can do.

> -----Original Message-----
> [mailto:r-help-bounces@stat.math.ethz.ch] On Behalf Of Markku Mielityinen
> Sent: Thursday, 24 March 2005 5:20 PM
>
> 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?

[...]

-- 
Brian D. Ripley,                  ripley@stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

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Received on Thu Mar 24 19:19:28 2005

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