Dear R-devel,
There seems to be a discrepancy in the order in which lm and rlm evaluate their
arguments. This causes rlm to sometimes produce an error where lm is just fine.
Here is a little script that illustrate the issue:
> library(MASS)
> ## create data
> n <- 100
> dat <- data.frame(x=rep(c(-1,0,1), n), y=rnorm(3*n))
>
> ## call lm, works fine
> summary(lm(y ~ as.factor(x), data=dat, subset=x!=0))
Call:
lm(formula = y ~ as.factor(x), data = dat, subset = x != 0)
Residuals:
Min 1Q Median 3Q Max
-2.60619 -0.82160 0.06307 0.65501 2.56677
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 0.061010 0.100027 0.610 0.543
as.factor(x)1 0.001332 0.141459 0.009 0.992
Residual standard error: 1 on 198 degrees of freedom
Multiple R-squared: 4.479e-07, Adjusted R-squared: -0.00505
F-statistic: 8.868e-05 on 1 and 198 DF, p-value: 0.9925
> ## call rlm, error
> summary(rlm(y ~ as.factor(x), data=dat, subset=x!=0))
Error in rlm.default(x, y, weights, method = method, wt.method = wt.method, :
'x' is singular: singular fits are not implemented in rlm
>
My guess is that rlm first converts x to a factor, which becomes a three-level
factor, then subsets on x!=0, which effectively eliminates a level, and then
creates a "regression" matrix, which becomes singular due to the absence of
data for a level.
Is there a simple way to work around it. The simplest I could think of is
with(subset(dat, x!=0), rlm(y ~ as.factor(x))
which is ok, but most of my scripts make use of data arg to regressions and I'd
like to stay consistent as much as practical.
Thanks,
Vadim
Note: This email is for the confidential use of the named addressee(s) only and
may contain proprietary, confidential or privileged information. If you are not
the intended recipient, you are hereby notified that any review, dissemination
or copying of this email is strictly prohibited, and to please notify the
sender immediately and destroy this email and any attachments. Email
transmission cannot be guaranteed to be secure or error-free. Jump Trading,
therefore, does not make any guarantees as to the completeness or accuracy of
this email or any attachments. This email is for informational purposes only
and does not constitute a recommendation, offer, request or solicitation of any
kind to buy, sell, subscribe, redeem or perform any type of transaction of a
financial product.
______________________________________________
R-devel@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-devel
