robustbase: lmrob.lar – R documentation

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lmrob.lar

Least Absolute Residuals / L1 Regression

Description

To compute least absolute residuals (LAR) or “L1” regression, lmrob.lar implements the routine L1 in Barrodale and Roberts (1974), which is based on the simplex method of linear programming. It is a copy of lmRob.lar (in early 2012) from the robust package.

Usage

lmrob.lar(x, y, control, ...)

Arguments

`x`	numeric matrix for the predictors.
`y`	numeric vector for the response.
`control`	`list` as returned by `lmrob.control()` .
`...`	(unused but needed when called as `init(x,y,ctrl, mf)` from `lmrob()`)

Details

This method is used for computing the M-S estimate and typically not to be used on its own.

A description of the Fortran subroutines used can be found in Marazzi (1993). In the book, the main method is named RILARS.

Value

A list that includes the following components:

`coef`	The L1-estimate of the coefficient vector
`scale`	The residual scale estimate (mad)
`resid`	The residuals
`iter`	The number of iterations required by the simplex algorithm
`status`	Return status (0: optimal, but non unique solution, 1: optimal unique solution)
`converged`	Convergence status (always `TRUE`), needed for `lmrob.fit`.

Author(s)

Manuel Koller

References

Marazzi, A. (1993). Algorithms, routines, and S functions for robust statistics. Wadsworth & Brooks/Cole, Pacific Grove, CA.

Examples

data(stackloss)
X <- model.matrix(stack.loss ~ . , data = stackloss)
y <- stack.loss
(fm.L1 <- lmrob.lar(X, y))
with(fm.L1, stopifnot(converged
  , status == 1L
  , all.equal(scale, 1.5291576438)
  , sum(abs(residuals) < 1e-15) == 4 # p=4 exactly fitted obs.
))

robustbase

Basic Robust Statistics

v0.93-7

GPL (>= 2)

Authors

Martin Maechler [aut, cre] (<https://orcid.org/0000-0002-8685-9910>), Peter Rousseeuw [ctb] (Qn and Sn), Christophe Croux [ctb] (Qn and Sn), Valentin Todorov [aut] (most robust Cov), Andreas Ruckstuhl [aut] (nlrob, anova, glmrob), Matias Salibian-Barrera [aut] (lmrob orig.), Tobias Verbeke [ctb, fnd] (mc, adjbox), Manuel Koller [aut] (mc, lmrob, psi-func.), Eduardo L. T. Conceicao [aut] (MM-, tau-, CM-, and MTL- nlrob), Maria Anna di Palma [ctb] (initial version of Comedian)

Initial release

2021-01-04