lqs                   package:MASS                   R Documentation

Resistant Regression

Description:

     Fit a regression to the _good_ points in the dataset, thereby
     achieving a regression estimator with a high breakdown point.
     'lmsreg' and 'ltsreg' are compatibility wrappers.

Usage:

     lqs(x, ...)

     ## S3 method for class 'formula':
     lqs(formula, data, ...,
         method = c("lts", "lqs", "lms", "S", "model.frame"),
         subset, na.action, model = TRUE,
         x.ret = FALSE, y.ret = FALSE, contrasts = NULL)

     ## Default S3 method:
     lqs(x, y, intercept = TRUE, method = c("lts", "lqs", "lms", "S"),
         quantile, control = lqs.control(...), k0 = 1.548, seed, ...)

     lmsreg(...)
     ltsreg(...)

Arguments:

 formula: a formula of the form 'y ~ x1 + x2 + ...'.

    data: data frame from which variables specified in 'formula' are
          preferentially to be taken.

  subset: an index vector specifying the cases to be used in fitting.
          (NOTE: If given, this argument must be named exactly.)

na.action: function to specify the action to be taken if 'NA's are
          found.  The default action is for the procedure to fail. 
          Alternatives include 'na.omit' and 'na.exclude', which lead
          to omission of cases with missing values on any required
          variable.  (NOTE: If given, this argument must be named
          exactly.) 

model, x.ret, y.ret: logical. If 'TRUE' the model frame, the model
          matrix and the response are returned, respectively.

contrasts: an optional list.  See the 'contrasts.arg' of
          'model.matrix.default'.

       x: a matrix or data frame containing the explanatory variables.

       y: the response: a vector of length the number of rows of 'x'.

intercept: should the model include an intercept?

  method: the method to be used. 'model.frame' returns the model frame:
          for the others see the 'Details' section. Using 'lmsreg' or
          'ltsreg' forces '"lms"' and '"lts"' respectively. 

quantile: the quantile to be used: see 'Details'. This is over-ridden
          if 'method = "lms"'. 

 control: additional control items: see 'Details'.

      k0: the cutoff / tuning constant used for chi() and psi()
          functions when 'method = "S"', currently corresponding to
          Tukey's "biweight".

    seed: the seed to be used for random sampling: see '.Random.seed'.
          The current value of '.Random.seed' will be preserved if it
          is set.. 

     ...: arguments to be passed to 'lqs.default' or 'lqs.control', see
          'control' above and 'Details'.

Details:

     Suppose there are 'n' data points and 'p' regressors, including
     any intercept.

     The first three methods minimize some function of the sorted
     squared residuals. For methods '"lqs"' and '"lms"' is the
     'quantile' squared residual, and for '"lts"' it is the sum of the
     'quantile' smallest squared residuals. '"lqs"' and '"lms"' differ
     in the defaults for 'quantile', which are 'floor((n+p+1)/2)' and
     'floor((n+1)/2)' respectively. For '"lts"' the default is
     'floor(n/2) + floor((p+1)/2)'.

     The '"S"' estimation method solves for the scale 's' such that the
     average of a function chi of the residuals divided by 's' is equal
     to a given constant.

     The 'control' argument is a list with components

     'psamp': the size of each sample. Defaults to 'p'.

     'nsamp': the number of samples or '"best"' (the default) or
          '"exact"' or '"sample"'. If '"sample"' the number chosen is
          'min(5*p, 3000)', taken from Rousseeuw and Hubert (1997). If
          '"best"' exhaustive enumeration is done up to 5000 samples;
          if '"exact"' exhaustive enumeration will be attempted however
          many samples are needed.

     'adjust': should the intercept be optimized for each sample? 
          Defaults to 'TRUE'.

Value:

     An object of class '"lqs"'.  This is a list with components 

    crit: the value of the criterion for the best solution found, in
          the case of 'method == "S"' before IWLS refinement.

    sing: character. A message about the number of samples which
          resulted in singular fits.

coefficients: of the fitted linear model

 bestone: the indices of those points fitted by the best sample found
          (prior to adjustment of the intercept, if requested).

fitted.values: the fitted values.

residuals: the residuals.

   scale: estimate(s) of the scale of the error. The first is based on
          the fit criterion.  The second (not present for 'method ==
          "S"') is based on the variance of those residuals whose
          absolute value is less than 2.5 times the initial estimate.

Note:

     There seems no reason other than historical to use the 'lms' and
     'lqs' options.  LMS estimation is of low efficiency (converging at
     rate n^{-1/3}) whereas LTS has the same asymptotic efficiency as
     an M estimator with trimming at the quartiles (Marazzi, 1993,
     p.201). LQS and LTS have the same maximal breakdown value of
     '(floor((n-p)/2) + 1)/n' attained if 'floor((n+p)/2) <= quantile
     <= floor((n+p+1)/2)'. The only drawback mentioned of LTS is
     greater computation, as a sort was thought to be required
     (Marazzi, 1993, p.201) but this is not true as a partial sort can
     be used (and is used in this implementation).

     Adjusting the intercept for each trial fit does need the residuals
     to be sorted, and may be significant extra computation if 'n' is
     large and 'p' small.

     Opinions differ over the choice of 'psamp'.  Rousseeuw and Hubert
     (1997) only consider p; Marazzi (1993) recommends p+1 and suggests
     that more samples are better than adjustment for a given
     computational limit.

     The computations are exact for a model with just an intercept and
     adjustment, and for LQS for a model with an intercept plus one
     regressor and exhaustive search with adjustment. For all other
     cases the minimization is only known to be approximate.

Author(s):

     B. D. Ripley

References:

     P. J. Rousseeuw and A. M. Leroy (1987) _Robust Regression and
     Outlier Detection._ Wiley.

     A. Marazzi (1993) _Algorithms, Routines and S Functions for Robust
     Statistics._ Wadsworth and Brooks/Cole.

     P. Rousseeuw and M. Hubert (1997) Recent developments in PROGRESS.
     In _L1-Statistical Procedures and Related Topics_, ed Y. Dodge,
     IMS Lecture Notes volume *31*, pp. 201-214.

See Also:

     'predict.lqs'

Examples:

     data(stackloss)
     set.seed(123)
     lqs(stack.loss ~ ., data = stackloss)
     lqs(stack.loss ~ ., data = stackloss, method = "S", nsamp = "exact")

