[RsR] hubers m-estimator in R / SPSS

[Rudolf Dutter]

Martin,

I agree fully with you. It reminds me that some 30 years ago I puzzled
around why SPSS produces negative variances. It was not too difficult to
find out the reason by trial and error. Conclusion: We didn't recommend
the usage SPSS at a scientific level any more, and some years ago, we
cancelled all licenses from our institute. I am not surprised that
Hubers algorithm remains mysterious in that package.
Sorry to say that.

Rudi

Martin Maechler wrote:
>>>>>> "MH" == Manfred Hammerl <manfred.hammerl using edu.uni-graz.at>
>>>>>>     on Wed, 23 Feb 2011 17:14:51 +0100 writes:
>>>>>>             
>
>     MH> thanks. of course, that was my idea too, but i couldn't find out which 
>     MH> scale estimator spss uses. no manual, book, paper or whatever contains 
>     MH> information about that. i tried other programs (like R or the ACM-tool), 
>     MH> which use MAD, SMAD or an iterated standard deviation, but i always get 
>     MH> different results with spss...
>
> so why on earth are you using SPSS at all?
> ...
> actually it's hard to believe that they don't document what
> their M-estimate does ...
> but that would really belong to an SPSS help list rather than an
> R one, right?
>
> Martin
>
>     MH> manfred
>
>
>     MH> Am 22.02.2011 00:42, schrieb Matias Salibian-Barrera:
>     >> Hello Manfred,
>     >> 
>     >> I'm not familiar with SPSS, but based on my experience, I'll go out on a
>     >> limb and say that the difference may be on the scale estimator that it's
>     >> used (either a preliminary estimator like the MAD) or a simultaneously
>     >> computer M-scale. Hopefully the SPSS manual will have some details.
>     >> 
>     >> Matias
>     >> 
>     >> 
>     >> On 11-02-18 06:35 PM, Manfred Hammerl sat down at the computer and wrote:
>     >>> hello, i'm new to robust statistics but found out very quick that R
>     >>> (used huber, hubers and huberM) and SPSS (huber m-estimator) calculate
>     >>> different location estimates, given the same tuning constant k. since
>     >>> the differences a really not very small, i wanted to get some detailed
>     >>> information about this but i couldn't find out which algorithm SPSS uses
>     >>> to calculate hubers estimator so far...
>     >>> 
>     >>> does anyone know something about SPSS's huber function?
>     >>> 
>     >>> greetings,
>     >>> 
>     >>> manfred
>     >>> 
>     >>> _______________________________________________
>     >>> R-SIG-Robust using r-project.org mailing list
>     >>> https://stat.ethz.ch/mailman/listinfo/r-sig-robust
>     >> 
>
>
>     MH> -- 
>     MH> MMag. Manfred Hammerl, BBakk.
>     MH> manfred.hammerl using edu.uni-graz.at
>
>     MH> _______________________________________________
>     MH> R-SIG-Robust using r-project.org mailing list
>     MH> https://stat.ethz.ch/mailman/listinfo/r-sig-robust
>
> _______________________________________________
> R-SIG-Robust using r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-robust
>
>
>   

-- 
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From: Prof. Dr. Rudolf Dutter
      Dept. of Statistics and Probability Theory
      Vienna University of Technology,
      Wiedner Hauptstr. 7 ("Goldenes Lamm")
      A-1040 Vienna, Austria
      Tel. +43 1 58801/10730
      FAX  +43 1 58801/10798
      E-Mail: R.Dutter using tuwien.ac.at
      Internet: http://www.statistik.tuwien.ac.at/public/dutt/
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