Solved – Fit a robust regression line using an MM-estimator in R

rrobust

Context. I'd like to fit a regression line to study to relation between some response variable $y$ and some continuous covariate $x$. Because of the presence of bad leverage points, I have opted for an MM-estimator instead of the usual LS-estimator.

Methodology. Basically, MM-estimation is M-estimation initialised by an S-estimator. Hence, two loss functions have to be picked. I have chosen the widely used Tukey Biweight's loss function

$\rho ( u ) = \left\{
\begin{array}{ll}
1 – \left[ 1 – \left( \tfrac{u}{k} \right)^{2} \right]^{3} & \textrm{if } | u | \leq k \\
1 & \textrm{if } | u | > k,
\end{array}
\right.$

with $k = 1.548$ at the preliminary S-estimator (which gives a breakdown point equal to $50 \%$), and with $k = 2.697$ at the M-estimation step (to guarantee $70\%$ Gaussian efficiency).

I'd like to use R to fit my robust regression line.

Question. 

library(MASS)
rlm(y~x, 
    method="MM",
    k0=1.548, c=2.697,
    maxit=50)
  • Is my code consistent with the previous paragraph?
  • Would you use other optional arguments?

EDIT. Following my discussion with @Jason Morgan, I realise that my previous code is wrong. (@Jason Morgan: Thank you very much for this!) However, I am still not convinced by his proposal. Instead, here is what I propose now:

library(robustbase)
lmrob(y~x, 
      tuning.chi=1.548, tuning.psi=2.697)

I think it sticks to the methodology now. Do you agree?

Thanks!

Best Answer

By default, the documentation indicates that rlm uses psi=psi.huber weights. Thus, if you want to use Tukey's bisquare, you need to specify psi=psi.bisquare. The default settings are psi.bisquare(u, c = 4.685, deriv = 0), which you can change as desired. For instance, possibly something like

rlm(x ~ y, method="MM", psi=psi.bisquare, maxit=50)

You may also want to investigate whether you should use least-trimmed squares (init="lts") to initialize your starting values. The default is to use least squares.

Related Question