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test.lmRob

Various Tests of Robust Regression Estimates


Description

Conducts test for bias of robust MM-estimates and Least Squares (LS) estimates against S-estimates, or permutation test of the slope estimate in a straight line fit.

Usage

test.lmRob(object, type = "bias", level = NULL, n.permute = 99)

Arguments

object

an object of class "lmRob".

type

character string. Valid choices are "bias" for bias test, or "permutation" for permutation test.

level

the level of the test for bias of MM-estimate. By default, the level component of object$robust.control is used.

n.permute

a positive integer value specifying the number of permutations to use.

Value

the p-value of the permutation test, or an object of class "biasMM" representing the bias test, in which case the following components ARE included:

mm

a list describing the test of bias for final MM-estimates, with the following components: stat, the t-statistic; pchi, a chi-squared p-value; qchi, the quantile of the chi-squared distribution with degrees of freedom equal to object\$rank corresponding to the probability input in the level (object$robust.control$level).

ls

a list describing the test of bias for LS-estimates, with the following components: stat, the t-statistic; pchi, a chi-squared p-value.

level

the level of the test for bias of MM-estimate.

References

Yohai, V., Stahel, W. A., and Zamar, R. H. (1991). A procedure for robust estimation and inference in linear regression, in Stahel, W. A. and Weisberg, S. W., Eds., Directions in robust statistics and diagnostics, Part II. Springer-Verlag.


robust

Port of the S+ "Robust Library"

v0.5-0.0
GPL-2
Authors
Jiahui Wang, Ruben Zamar <ruben@stat.ubc.ca>, Alfio Marazzi <Alfio.Marazzi@inst.hospvd.ch>, Victor Yohai <vyohai@dm.uba.ar>, Matias Salibian-Barrera <matias@stat.ubc.ca>, Ricardo Maronna <maron@mate.unlp.edu.ar>, Eric Zivot <ezivot@u.washington.edu>, David Rocke <dmrocke@ucdavis.edu>, Doug Martin, Martin Maechler <maechler@stat.math.ethz.ch>, Kjell Konis <kjell.konis@me.com>.
Initial release
2020-03-07

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