MATLAB: Goodness of fit: Least absolute deviation

Question

Hi,

I would like to know how matlab calculate sse, rmse and Rsquare when we used the options "Robust",'LAR' in fitoptions since the result I obtained is different from the traditional sse, rmse and Rsquare results.

Thanks

Elisabeth

Answer 1

The function computes a robust estimate of the error standard deviation and calls this rmse. The sse is then dfe*rmse^2 where dfe is the degrees of freedom for the error term. Rsquare is 1-sse/sst.

A reference for the robust estimate of the error standard deviation is DuMouchel, W.H., and F.L. O'Brien (1989), "Integrating a robust option into a multiple regression computing environment," Computer Science and Statistics: Proceedings of the 21st Symposium on the Interface, American Statistical Association.