From: Murray Jorgensen <maj_at_stats.waikato.ac.nz>

Date: Thu 22 Dec 2005 - 20:13:45 EST

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

Date: Thu 22 Dec 2005 - 20:13:45 EST

Prof Brian Ripley wrote:

> On Thu, 22 Dec 2005, Murray Jorgensen wrote:

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>> 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.

Sure, the sort of situation where one might want a robust estimator.

[...]

> Note that the huber() scale estimate is the initial MAD, whereas rlm

*> iterates. Because during iteration the 'center' for MAD is known to be
**> zero, the results differ. For symmetric distributions there is little
**> difference, but your sample is not close to symmetric.
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[Blush] yes I knew that and somehow I forgot. But leave rlm() alone for a while and do IRLS with fixed scale:

th <- median(y)

s <- mad(y)

# paste this in a few times:

w <- ifelse((y-th< 1.345*s & y-th>-1.345*s), 1, 1.345*s/abs(y-th))
th <- weighted.mean(y,w)

th

We converge to

> th

[1] 5.9203

close to the answer given by rlm() different from
> huber(y)$mu

[1] 5.9117

So the variable scale does not account for the difference.

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 ______________________________________________ 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 20:19:36 2005

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