[R] R code for robust regression

Martin Maechler maechler at stat.math.ethz.ch
Tue Dec 12 15:23:32 CET 2000

>> I have tried to search for a R code program of robust M or generalized M
>> regression estimator (like M and GM in S-Plus). Could you, please, help me
>> to find this program if it has been constructed?
>> Yours sincerely,
>> Heikki Hella
>> PhD student
>> Helsinki
>> Finland  

There are robust regression functions (not M-est)  
in the lqs package  `` library(lqs) ''; look for "resistant" instead of
"robust" (why?, well..) further enhanced by functions in the MASS package,
particularly  rlm() :

hubers(MASS)         Huber Proposal 2 Robust Estimator of Location and/or Scale 
orlm(MASS)           Fit Robust Linear Regression Model 
rlm(MASS)            Robust Fitting of Linear Models 
summary.rlm(MASS)    Summary Method for Robust Linear Models 

and in the wle package :

 wle.normal(wle)             Robust Estimation in the Normal Model
 wle.normal.multi(wle)       Robust Estimation in the Normal Multivariate Model
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