[RsR] R function
Ricardo Maronna
rmaronna at mail.retina.ar
Tue Dec 6 01:02:22 CET 2005
> Ricardo, can you be more specific about what you don't like in the
> implementation of OGK in S-Plus?
Hi Kjell,
The "pure" OGK estimate works regardless of the collinearity of the
data.
The resulting estimate needs some improvement step. We thought of the
simple "one-step hard rejection". It was indicated in the paper that no
explicit matrix inversion is required for this step, so that it can be made
to work even for collinear data.
I have tried the S-Plus version with data that were definitely not
collinear, and I got an error message of the sort "matrix not invertible". I
couldn't figure out why.
By the way, on later reflexion I have thought that a better improvement
would be to use the "pure" OGK as the starting point for the iterations of
an S-estimate, which would be much cheaper than subsampling.
Regards,
Ricardo
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