[R] R-square in robust regression

[Prof Brian Ripley]

On Sun, 19 Oct 2008, PARKERSO wrote:

>
> Hi there,
> I have just started using the MASS package in R to run M-estimator robust
> regressions. The final output appears to only give coefficients, degrees of
> freedom and t-stats. Does anyone know why R doesn't compute R or R-squared

These as only valid for least-squares fits -- they will include the 
possible outliers in the measure of fit.

And BTW, it is not 'R', but the uncredited author of the package who made 
such design decisions.

> and why doesn't give you any other indices of goodness of fit?

Which ones did you have in mind?  It does give a scale estimate of the 
residuals, and this determines the predition accuracy.

> Does anyone know how to compute these in R?

Yes.

> Sophie


-- 
Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
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