> -----Original Message----- > From: Galkowski, Jan [mailto:jgalk...@akamai.com] > Sent: Wednesday, April 08, 2009 12:28 PM > To: Greg Snow; r-help@r-project.org > Subject: RE: predict "interval" for lmRob?
[snip] > It sounds to me like I might use the robust regression to decide what > to discard and then apply standard linear "lm" to the remainder, > minding the diagnostics. Should they prove favorable, I'll proceed with > the result of "lm". Discarding actual data points always makes me nervous. Sometimes the points we want to discard are actually the most interesting. > Thanks for pointing out the limitations of "robust" and its kin for me. I consider anything that encourages me to ask questions, contemplate the answers, and really think about my data and scientific question to be a benefit rather than a limitation (one of the reasons I like R so much). > BTW, if "robust" does not adopt a normal model for the y variable, > what's the proper interpretation of the standard errors for slope and > intercept it yields? A reference? Well there are several references on the help page for lmRob, there is also a section in MASS (the book). But I think that while some of the techniques may have been developed for one particular distribution, it has been found that they work for a larger set of distributions and the theory does not depend on a particular distribution (you have to decide which makes the most sense for your data/application area). For simulations to show that they work I have seen: mixture of 2 normals, same mean but one with a much larger variance (giving the outliers), mixture of a normal and a t/cauchy, mixture of a normal and a gamma (some skewness/outliers), mixture of 2 normals with different means (outliers come from a different population mingled in with the population of interest and not easily distinguished), etc. -- Gregory (Greg) L. Snow Ph.D. Statistical Data Center Intermountain Healthcare greg.s...@imail.org 801.408.8111 ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
