[R] R: Regression with t errors?

Prof Brian Ripley ripley at stats.ox.ac.uk
Mon Jan 11 16:53:49 CET 1999

> Date: Mon, 11 Jan 1999 15:23:10 +0100
> From: Kjetil Halvorsen <khal at alumni.uv.es>
> To: "Morris, Jeffrey (JCD-RL)" <JMorris at OCDUS.JNJ.COM>
> CC: "'R-Help'" <r-help at stat.math.ethz.ch>
> Subject: [R] R: Regression with t errors?
> Has anybody implemented/knows about ways to do in R regression
> based on t-distributed residuals?  I can write something with
> IRLS, but would like to know if I can aviud it.
> Kjetil Halvorsen

This is just M-estimation with a particular form of down-weighting.
You should be able to harness my rlm function (use the version in
lqs.tar.gz) to do this for you just by writing a weighting function
in R.

Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272860 (secr)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

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