[R] Huber location estimate

From: Murray Jorgensen <maj_at_stats.waikato.ac.nz>
Date: Thu 22 Dec 2005 - 14:37:20 EST


We have a choice when calculating the Huber location estimate:
> set.seed(221205)

> y <- 7 + 3*rt(30,1)
> library(MASS)
> huber(y)$mu

[1] 5.9117
> coefficients(rlm(y~1))

(Intercept)

      5.9204

I was surprised to get two different results. The function huber() works   directly with the definition whereas rlm() uses iteratively reweighted least squares.

My surprise is because I vaguely remember

@ARTICLE{hw77,

   author  = {Holland, P. W. and Welsch, R. E.},
   title   = {Robust Regression using Iteratively Reweighted Least-Squares},
   journal = {Communications in Statistics: Theory and Methods},
   volume  = {A6(9)},
   number  = {},
   pages   = {813-827},
   year    = {1977}

}
as saying that the two methods were equivalent. Obviously they aren't quite. Comments welcome.

Murray Jorgensen

-- 
Dr Murray Jorgensen      http://www.stats.waikato.ac.nz/Staff/maj.html
Department of Statistics, University of Waikato, Hamilton, New Zealand
Email: maj@waikato.ac.nz                                Fax 7 838 4155
Phone  +64 7 838 4773 wk    Home +64 7 825 0441    Mobile 021 1395 862

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Received on Thu Dec 22 14:45:01 2005

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