[R] rlm/M/MM-estimator questions

Christian Hennig chrish at stats.ucl.ac.uk
Wed Jul 6 20:35:06 CEST 2005

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.)

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,

*** NEW ADDRESS! ***
Christian Hennig
University College London, Department of Statistical Science
Gower St., London WC1E 6BT, phone +44 207 679 1698
chrish at stats.ucl.ac.uk, www.homepages.ucl.ac.uk/~ucakche

More information about the R-help mailing list