[RsR] Comparing OLS and robust regression
Andreas Ruckstuhl
rk@t @end|ng |rom zh@w@ch
Tue May 26 09:09:49 CEST 2015
Dear Michael
I recommend to compare the graphical residual analysis of both fits.
This is done best when lmrob() of the package robustbase is used because
then you can proceed as follows
library(robustbase)
D.rlm <- lmrob(y ~ x1 + x2, data=D, setting='KS2011')
par(mfrow=c(2,3))
plot(D.rlm)
If the robust fit does not show any outliers or any other strange
things, the classical and the robust fit should agree. If there are
outliers you cannot trust the output of the classical fit (i.e.,
estimated coefficients, standard errors and test results). In this case
you must use the results of the robust fit.
Best regards
Andreas
Am 22.05.2015 um 23:24 schrieb michael westphal via R-SIG-Robust:
> Hello:
> I am using R 3.0.2.
> I have built robust regression models with rlm, because regression diagnostic tests (Q-Q plots) indicate there are large outliers. How do I best compare the goodness of fit between robust regression and OLS? Does it make sense to only compare residual standard error? If not, what do you suggest? Thanks.
> Michael
>
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>
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--
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Prof. Dr. Andreas Ruckstuhl
ZHAW Zürcher Hochschule für Angewandte Wissenschaften
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