[RsR] port of LIBRA toolbox to R

[Tobias Verbeke]

Hi Martin,

Martin Maechler wrote:

>>>>>> "Peter" == Peter Filzmoser <P.Filzmoser using tuwien.ac.at>
>>>>>>     on Mon, 22 Jan 2007 08:15:11 +0100 writes:
> 
>     Peter> Dear Tobias, This is very good news. Your work will
>     Peter> be an important contribution to the project.
> 
> Indeed; thank you Tobias (and Mia and Sabine)!
> 
> In the mean-time, I've studied a bit the "function list" of
> LIBRA, and found that quite a few functions there seem to be
> there just because matlab is not R ("base + stats + MASS");
> Several other ones have now been part of 'robustbase' for a
> while.  
> Most of the remaining functions where a port would seem very valuable
> are I think related to robust PCA and versions thereof.

You're (of course) right that most of the basic
LIBRA functionality is already present in the named
R packages. As far as robust PCA is concerned,
Mia and Sabine also agree that this is the lion's
part of the job. They argued in the first place
for the inclusion of `robpca' [1] as it appears to
stand competition well amongst MCD-based methods.

Mia, Sabine and myself already had a discussion
function by function on what is and is not yet
available. Here is a summary which also reflects
priority (no logic in there) on my TODO list:

(1) For the moment I am working on the medcouple and
   the skewness adjusted version of the boxplot which
   would both be candidates for inclusion in robustbase.

(2) Next, I plan to address `robpca', also candidate for
   robustbase (cf. supra). Mia and Sabine are reconsidering
   for the moment more efficient algorithms for the cross-validated
   PRESS value used that are not yet part of the current version
   of MATLAB LIBRA. Together with robpca, some diagnostic plots for
   robust PCA were developed which could be added as well.

(3) Work towards integration (if not yet present) in robustbase of
   multivariate linear models. A design allowing the specification of
   different robust covariance matrices to be used might offer the
   flexibility R people are used to. This corresponds to the (MCD-only)
   function `Mcdregres' in LIBRA.

(4) robustified versions of traditional classification methods
   (robust discriminant analysis [`rda'] etc.). Should not be part of
   robustbase and will be packaged separately as more recent
   classification methods outperform these traditional methods.

(5) robust versions of popular methods in chemometrics such as
   `rsimpls', `rpcr', etc. These again are no candidate for inclusion in
   robustbase and are planned to be packaged separately.

Kind regards,
Tobias


[1] Hubert, M., Rousseeuw, P.J., Vanden Branden, K. (2005).
     ROBPCA: a new approach to robust principal component analysis,
     Technometrics, 47, 64-79.

> One question that may become interesting a bit later (when speed
> & memory performance may be considered) is how much of the code can
> be and should be built on the fast-MCD code from robustbase.
> I still have plans to translate that to C and "export its API"
> since nowadays R packages *can* export their C API, i.e. have
> other R packages' C or R code directly call the C code of the
> first package.
> 
> Regards,
> Martin
> 
>     Peter> Tobias Verbeke wrote:
>     >> Dear R-SIG-Robust,
>     >> 
>     >> I am happy to announce that Mia Hubert and Sabine
>     >> Verboven decided to let me port all of the LIBRA
>     >> functionality (cf.
>     >> http://wis.kuleuven.be/stat/robust/LIBRA.html ) to R and
>     >> release the resulting work under GPL.
>     >> 
>     >> I will discuss progress on the list not only to keep you
>     >> posted but also to make the best decisions together in
>     >> order to seamlessly integrate the functions with the
>     >> current framework.
>     >> 
>     >> Everything should be available by October 2007.
>     >> 
>     >> Best wishes, Tobias
>     >> 
> 
> 
>     Peter> --
>     Peter> -------------------------------------------------------
>     Peter> From: Prof. Dr. Peter Filzmoser Dept. of Statistics &
>     Peter> Probability Theory Vienna University of Technology
>     Peter> Wiedner Hauptstrasse 8-10 A-1040 Vienna, Austria
>     Peter> Tel. +43 1 58801/10733 Fax. +43 1 58801/10799 E-mail:
>     Peter> P.Filzmoser using tuwien.ac.at Internet:
>     Peter> http://www.statistik.tuwien.ac.at/public/filz/
> 
>     Peter> _______________________________________________
>     Peter> R-SIG-Robust using r-project.org mailing list
>     Peter> https://stat.ethz.ch/mailman/listinfo/r-sig-robust
> 


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