[R] MM estimator

[Simon Zehnder]

Thanks Martin, for making this clear to me, I thought of Pearson’s Method-of-Moments.
On 14 Nov 2013, at 16:08, Martin Maechler <maechler at stat.math.ethz.ch> wrote:

>>>>>> "SZ" == Simon Zehnder <szehnder at uni-bonn.de>
>>>>>>    on Thu, 14 Nov 2013 08:52:16 +0100 writes:
> 
>    SZ> Check the gmm package with a weighting matrix equal to
>    SZ> the identity.  Best
> 
>    SZ> Simon
> 
> No.    "MM" is ambigous: The  gmm package is about
>       "Generalized Method of Moments"
> 
> but Izhak is really asking about MM estimation in the field of
> robust statistics, where an MM estimator is a special kind of 
> "M-Estimator" (and these, introduced by Peter Huber (1964), Annals,
> 	       fortunately are well known unambigously,
> 	       as a generalization of ML estimators (= MLE)),
> namely an M-estimator with redescending psi (==> non-convex
> problem ==> solution typically depends on starting value),
> started with a high-breakdown point initial estimate.
> 
> Izhak mentioned  nlrob() from package robustbase, and he is
> right that this does not provide an MM estimator, but only an M
> estimate started by Least Squares.
> 
> Fortunately, we have had contributions to the robustbase
> package from Eduardo Conceição since last summer.
> He provided alternative versions of  nlrob(),
> notably a  nlrob.MM()  
> currently *hidden* {and undocumented}.
> 
> I.e. you need
> 
> install.packages("robustbase", repos="http://R-Forge.R-project.org")
> 
> library(robustbase)
> 
> and then use  robustbase:::nlrob.MM(....)
> 
> The reason for all this is that I plan to have one nlrob()
> function  but with  a new argument  'method'
> and so eventually
> 
>    nlrob.MM(...., method="MM")
> 
> will correspond to current to the R-forge version
> 
>    robustbase:::nlrob.MM(....)
> 
> -------
> Please for all more, use the dedicated mailing list
> R-SIG-robust only (i.e. do *not* just reply-all to this
> e-mail!).
> 
> Martin Maechler,
> ETH Zurich
> 
> 
>    SZ> On 14 Nov 2013, at 04:37, IZHAK shabsogh
>    SZ> <ishaqbaba at yahoo.com> wrote:
> 
>>> hi
>>> 
>>> I have a nonlinear regression model with two parameter, i
>>> have estimated using nls in R and i want to also find the
>>> estimate using MM, someone refer me to this function
>>> nlrob but this is main for only M estimate. can you
>>> please help me findout a function in R for MM nonlinear
>>> regression
>>> 
>>> thanks
>>> 
>>> [[alternative HTML version deleted]]
>>> 
>>> ______________________________________________
>>> R-help at r-project.org mailing list
>>> https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do
>>> read the posting guide
>>> http://www.R-project.org/posting-guide.html and provide
>>> commented, minimal, self-contained, reproducible code.
> 
>    SZ> ______________________________________________
>    SZ> R-help at r-project.org mailing list
>    SZ> https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do
>    SZ> read the posting guide
>    SZ> http://www.R-project.org/posting-guide.html and provide
>    SZ> commented, minimal, self-contained, reproducible code.