[R] Plotting confidence bands around regression line

[S Ellison]

>>> Frank Harrell <f.harrell at vanderbilt.edu> 11/08/2010 17:02:03 >>>

> This problem seems to cry out for one of the many available robust 
> regression methods in R.

Not sure that would be much more appropriate, although it would
_appear_ to work. The P&B method is a sort of nonparametric/robust
approach to an errors-in-variables problem, intended to provide an
indication of consistency of results between two different measurement
methods, often with similar error variance. So the aim is to handle the
error-in-variable problem at least consistently, to avoid the bias that
results from assuming no error in predictors. The M-estimator and
related robust regression methods in things like MASS and robustbase
don't handle errors in the predictors. Of course, with small errors in
predictors that won't matter much; rlm and the like will be pretty much
as defensible then as they ever are.

But perhaps one could construct a more formal robust equivalent of
error-in-variable regression by using a max likelihood functional
relationship model with bivariate t (choosing arbitrarily low df)
instead of bivariate gaussian errors? Unfortunately I haven't tried
that, so no help beyond the thought ...

Steve Ellison

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