W-algorithm for M-estimate of location
Robust location estimate with simultaneous estimation of the scale parameter
lywalg(y, lambda, psp0 = psp(0), expsi = psi, exchi = chi, exrho = rho,
sigmai, tol = .dFvGet()$tlo, gam = .dFvGet()$gma,
isigma = .dFvGet()$isg, maxit = .dFvGet()$mxt, maxis = .dFvGet()$mxs,
nitmon = .dFvGet()$ntm)y |
Vector containing the observations |
lambda |
Initial solution of the location parameter |
psp0 |
Value of psp(0) (first derivative of the psi function) |
expsi |
User supplied psi function |
exchi |
User supplied chi function |
exrho |
User supplied rho function |
sigmai |
Initial estimate of the scale parameter |
tol |
Relative precision for the convergence criterion |
gam |
Relaxation factor. Set 0 < gam < 2. |
isigma |
If isigma<0, the value of sigma is not changed during the first iteration. If isigma=0, bypasss iteration on sigma (sigmaf=sigmai). If |isigma|>0, sigma is updated using the robeth function rysigm. |
maxit |
Maximum number of cycles |
maxis |
Maximum number of iterations for the scale step |
nitmon |
If nitmon>0 and the iteration counter is a multiple of nitmon, the current value of sigma, theta and delta are printed. If no iteration monitoring is required, set nitmon equal to 0. |
The .dFv variables for the default values must be created by a call to the
dfvals() function of the robeth package. To see if this variable is
available in your R session, type ls(all.names=TRUE). The parameters for psi,
chi and rho functions must also be set by a preliminary call to the dfcomn
function of the robeth package.
lambda |
Final value of the location estimate |
nit |
Reached number of cycles |
sigmaf |
Final estimate of sigma |
rs |
The residual vector |
Marazzi A. (1993), Algorithm, Routines, and S functions for Robust Statistics, Wadsworth & Brooks/cole, Pacific Grove, California. p.30 and p.83 .
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