Hi Michael, S Ellison, I do not actually understand what you want to achieve with the M estimates of rlm in MASS, but why you do not give a try of lmrob in 'robustbase'. Please have a llok in the references (?lmrob) about the advantages of MM estimators over the M estimators.
Best regards, Valentin On Fri, Jul 20, 2012 at 5:11 PM, S Ellison <s.elli...@lgcgroup.com> wrote: > > >> -----Original Message----- >> Subject: [RsR] How does "rlm" in R decide its "w" weights for >> each IRLS iteration? >> I am also confused about the manual: >> >> a. The input arguments: >> >> wt.method are the weights case weights (giving the relative >> importance of case, so a weight of 2 means there are two of >> these) or the inverse of the variances, so a weight of two >> means this error is half as variable? > > When you give rlm weights (called 'weights', not 'w' on input, though you can > abbreviate to 'w'), you need to tell it which of these two possibilities you > used. > If you gave it case numbers, say wt.method="case"; if you gave it inverse > variance weights, say wt.method="inv.var". > The default is "inv.var". > > >> The input argument "w" is used for the initial values of the >> rlm IRLS weighting and the output value "w" is the converged "w". > There is no input argument 'w' for rlm (see above). > The output w are a calculated using the psi function, so between 0 and 1. > The effective weights for the final estimate would then be something like > w*weights, using the full name of the input argument (and if I haven't > forgotten a square root somewhere). At least, that would work for a simple > location estimate (eg rlm(x~1)). > >> If my understanding above is correct, how does "rlm" decide >> its "w" for each IRLS iteration then? > It uses the given psi functions to calculate the iterative weights based on > the scaled residuals. > >> Any pointers/tutorials/notes to the calculation of these >> "w"'s in each IRLS iteration? > Read the cited references for a detailed guide. Or, of course, MASS - the > package is, after all, intended to support the book, not replace it. > > > > S Ellison > > ******************************************************************* > This email and any attachments are confidential. Any u...{{dropped:6}} ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.