From: Prof Brian Ripley <ripley_at_stats.ox.ac.uk>

Date: Thu 22 Dec 2005 - 19:42:58 EST

Date: Thu 22 Dec 2005 - 19:42:58 EST

On Thu, 22 Dec 2005, Murray Jorgensen wrote:

> We have a choice when calculating the Huber location estimate:

*> > set.seed(221205)
**> > y <- 7 + 3*rt(30,1)
*

That's Cauchy, BTW, a very extreme case.

> > 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.
*

Scale estimation differs. You have (unfairly to the uncredited author) not included all the output:

*> huber(y)
*

$mu

[1] 5.911719

$s

[1] 4.096697

> rlm(y~1)

Call:

rlm(formula = y ~ 1)

Converged in 5 iterations

Coefficients:

(Intercept)

5.920354

Degrees of freedom: 30 total; 29 residual Scale estimate: 3.75

-- 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 ______________________________________________ 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.htmlReceived on Thu Dec 22 19:48:48 2005

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