Re: [R] Huber location estimate

From: Murray Jorgensen <maj_at_stats.waikato.ac.nz>
Date: Thu 22 Dec 2005 - 21:42:30 EST

D'oh! Apologies for wasting everybody's time!

Murray

Martin Maechler wrote:

>>>>>>"Murray" == Murray Jorgensen <maj@stats.waikato.ac.nz>
>>>>>>    on Thu, 22 Dec 2005 22:13:45 +1300 writes:

>
>
> Murray> Prof Brian Ripley wrote:
> >> 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.
>
> Murray> Sure, the sort of situation where one might want a robust estimator.
>
> Murray> [...]
>
> >> 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.
>
> Murray> [Blush] yes I knew that and somehow I forgot. But leave rlm() alone for
> Murray> a while and do IRLS with fixed scale:
>
> Murray> th <- median(y)
> Murray> s <- mad(y)
> Murray> # paste this in a few times:
> Murray> w <- ifelse((y-th< 1.345*s & y-th>-1.345*s), 1, 1.345*s/abs(y-th))
> Murray> th <- weighted.mean(y,w)
> Murray> th
>
> Murray> We converge to
> >> th
> Murray> [1] 5.9203
> Murray> close to the answer given by rlm() different from
> >> huber(y)$mu
> Murray> [1] 5.9117
>
> Murray> So the variable scale does not account for the difference.
>
> No, the main difference is the different default:
> huber() has k=1.5
> and rlm() has k=1.345 :
>
> Try this
>
> set.seed(221205)
> y <- 7 + 3*rt(30,1)
>
> str(huber(y, k = 1.345), digits = 5)
> ## List of 2
> ## $ mu: num 5.9203
> ## $ s : num 4.0967
>
> str(rlm(y ~ 1)[c("coefficients", "s")], digits = 5) #
> ## (edited to)
> ## $ coefficients: num 5.9204
> ## $ s : num 3.7463
>
> which gives 'mu' very close, even for the iterated
> vs. non-iterated scales.
>
> Martin Maechler, ETH Zurich
-- 
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 21:48:44 2005

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