[RsR] Maximum number of variables with lmRob? Error: singular matrix encountered

[Manuel Koller]

Hi Kaveh

Martin already gave the reference to paper where we develop the SMDM
estimators. The second paper he mentions can be found on arxiv for now
(arXiv:1208.5595v1, http://arxiv.org/abs/1208.5595). There you can
find the algorithm we implemented in lmrob that can also compute
S-estimates when there are categorical variables present.

Best regards,

Manuel

On Thu, Aug 30, 2012 at 12:53 PM, Martin Maechler
<maechler using stat.math.ethz.ch> wrote:
>>>>>> "KV" == Kaveh Vakili <kaveh.vakili using wis.kuleuven.be>
>>>>>>     on Thu, 30 Aug 2012 12:20:45 +0200 writes:
>
>     KV> Sorry I accidentally send a draft message to the list
>     KV> (maybe the heatwave).
>
>     KV> Below the correct version
>
>
>
>     KV> Dear Manuel,
>
>     KV> This all sounds very exiting, would you by any chance
>     KV> have a link to a white paper/technical report where
>     KV> these innovations are documented in greater details
>     KV> than in the help files associated with lmRob?
>
> I think you have understood that Manuel advocates using lmrob(),
> [not lmRob() !!]
>
> So please do look at  ?lmrob
> It has several references, most notably to
>
>   Koller, M. and Stahel, W.A. (2011), Sharpening Wald-type inference
>   in robust regression for small samples, _Computational Statistics
>   & Data Analysis_ *55*(8), 2504-2515.
>
> For newer results, manual will provide newer links.
>
> Unfortunately, stupid editorial processes lead to papers not
> being published just because they want to publicize a simple
> good idea for a new algorithm that has not been found by anyone
> in 20-30 years history, but the editor/referees still claim the
> idea to be too simple to be worth publishing .....
>
> Martin
>
>     KV> Best regards,
>
>
>     KV> On 08/30/2012 12:04 PM, Kaveh Vakili wrote:
>     >>
>     >> Dear Manual,
>     >>
>     >> This all sounds very existing, would you do by any chance
>     >> have a link to a white paper where these numerous
>     >> innovations are explained more in detail than in the
>     >> lmRob help files?
>     >>
>     >> Best regards,
>     >>
>     >>
>     >>
>     >>
>     >> On 08/30/2012 08:26 AM, Manuel Koller wrote:
>     >>> - lmrob uses randomized algorithms and thus produces slightly
>     >>> different results for different seeds.
>     >>
>     >> _______________________________________________
>     >> R-SIG-Robust using r-project.org mailing list
>     >> https://stat.ethz.ch/mailman/listinfo/r-sig-robust
>
>     KV> _______________________________________________
>     KV> R-SIG-Robust using r-project.org mailing list
>     KV> 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



-- 
Manuel Koller <koller using stat.math.ethz.ch>
Seminar für Statistik, HG G 18, Rämistrasse 101
ETH Zürich  8092 Zürich  SWITZERLAND
phone: +41 44 632-4673 fax: ...-1228
http://stat.ethz.ch/people/kollerma/