Christian Hennig wrote: >Hi list, > >1) How can the MM-estimator method="MM" in function rlm be tuned to 85% >efficiency? It seems that there is a default tuning to 95%. I presume, but >am not sure, that the MM-estimator uses phi=phi.bisquare as default and >the tuning constant could be set by adding a parameter c=... >Is this true? Which value to use for 85%? >(In principle I should be able to figure that out theoretically, but it >would be much easier if somebody already knew the constant or a >straightforward way to compute it.) > > Hi Christian,
I have not calculated the efficiency myself ... But the thesis of Matias Salibian-Barrera (SB 2000) might help you to find the answer (cf. Chapter 4). See: http://mathstat.math.carleton.ca:16080/~matias/thesis.pdf As far as I understand the choice k0=1.548 is to obtain a breakdown point 0.5 whereas k0=1.988 leads to a breakdown point of 0.4 - at least in the location case; confer p. 60 of SB 2000. In the article "Optimal robust $M$-estimates of location" by Fraiman, Yohai and Zamar (Ann. Stat. 29(1): 194 - 223) which is, of course, concerned with the location case, the authors recommend to use k0=1.988 instead of k0=1.548 (cf. p. 206). Hope that helps! Matthias >2) The M-estimator with bisquare uses "rescaled MAD of the residuals" as >scale estimator according to the rlm help page. Does this mean that a >scale estimator is used which is computed from least squares residuals? Are >M-estimator and residual scale estimator iterated until convergence of >them both? (Does this converge?) Or what else? What does "rescaled" mean? > >Thank you, >Christian > > >*** NEW ADDRESS! *** >Christian Hennig >University College London, Department of Statistical Science >Gower St., London WC1E 6BT, phone +44 207 679 1698 >[EMAIL PROTECTED], www.homepages.ucl.ac.uk/~ucakche > >______________________________________________ >[email protected] mailing list >https://stat.ethz.ch/mailman/listinfo/r-help >PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html > > ______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
