Re: [R] [RsR] p-values for robust regression

From: Matias Salibian-Barrera <matias_at_stat.ubc.ca>
Date: Thu 06 Jul 2006 - 03:19:10 EST

Dear Celso,

I would only add a few comments to Martin's explanation below:

Summarizing:

Best,

Matias

--
______________________________________________________________
Matias Salibian-Barrera - Department of Statistics
University of British Columbia - matias@stat.ubc.ca
Phone: (604) 822-3410 - Fax: (604) 822-6960


Martin Maechler wrote:

> [Oops! Written 6 hours ago, the following was accidentally not sent.]
>
>>>>>> "Celso" == Celso Barros <celso.barros@gmail.com> >>>>>> on Wed, 5 Jul 2006 04:09:17 -0300 writes:
>
> Celso> When I run rlm to obtain robust standard errors, my output does not include
> Celso> p-values. Is there any reason p-values should not be used in this case?
>
> yes (see also below).
>
> Celso> Is there an argument I could use in rlm so that the output does
> Celso> include p-values?
> no.
>
> What are the reasons?
>
> How to properly do hypothesis testing in the context of robust
> regression has partly been an open research problem. Whereas
> or has been solved in Elvezio Ronchetti's PhD thesis (1982)
> by tau-tests, see chapter 7 of Hampel, Rousseeuw, Ronchetti,
> Stahel (1986), these are not (directly) related to standard
> errors, and t-tests with some degrees of freedom.
> Hence they are not so intuitively explainable, and not entirely
> trivial to implement. Probably this is one of reasons, why they
> (tau-tests) haven't been programmed for MASS (the book and the R package).
>
> Recent research, namely,
> Croux, C., Dhaene, G. and Hoorelbeke, D. (2003) _Robust standard
> errors for robust estimators_, Discussion Papers Series 03.16,
> K.U. Leuven, CES.
> has been made use of by Matias Salibian-Barrera's roblm()
> function now available as lmrob() from package 'robustbase'.
> There, mod <- lmrob(........); summary( mod )
> does provide you with P-values.
> But we still recommend *not* to ``believe in the P-values''
> blindly, but rather base your data analysis on serious analysis
> of residuals and other model checking.
>
> _______________________________________________
> R-SIG-Robust@r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-robust
>
>
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Received on Thu Jul 06 06:51:40 2006

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