[R] rlm/M/MM-estimator questions

From: Christian Hennig <chrish_at_stats.ucl.ac.uk>
Date: Thu 07 Jul 2005 - 04:35:06 EST


Hi list,

  1. How can the MM-estimator method="MM" in function rlm be tuned to 85% efficiency? It seems that there is a default tuning to 95%. I presume, but am not sure, that the MM-estimator uses phi=phi.bisquare as default and the tuning constant could be set by adding a parameter c=... Is this true? Which value to use for 85%? (In principle I should be able to figure that out theoretically, but it would be much easier if somebody already knew the constant or a straightforward way to compute it.)
  2. The M-estimator with bisquare uses "rescaled MAD of the residuals" as scale estimator according to the rlm help page. Does this mean that a scale estimator is used which is computed from least squares residuals? Are M-estimator and residual scale estimator iterated until convergence of them both? (Does this converge?) Or what else? What does "rescaled" mean?

Thank you,
Christian


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