[R] What goodness-of-fit measure for robust regression ?

vincent.vicaire@libertysurf.fr vincent.vicaire at libertysurf.fr
Fri Nov 14 15:02:31 CET 2003


i. After estimating some coefficients using robust regression with rlm() or lqs(), I wonder if there exist some measures of the goodness-of-fit as those for standard linear model(R2)... or evenly if it's a statistics non-sense to look for since I do not find any mention of that in differents chapters on robust and resistant regression or in severals R documentation (Fox, Ripley and Venables)?

ii.If such measure exist for robust regression, how could I implement it in R, and what about their comparability with traditionnal R2 of linear model ?

Best regards
A lot of thank to anyone that could give me some light.


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