skewtreg {ForestFit} | R Documentation |
Robust multiple linear regression modelling when error term follows a skew Student's
distribution
Description
Robust multiple linear regression modelling with skew Student's error term. The density function of skew Student's
is given by
where ,
is the location parameter,
is the scale parameter, and
is the skewness parameter. Also,
and
denote the density and distribution functions of the Student's
distribution with
degrees of freedom at point
, respectively. If
, then the skew Student's
distribution turns into the ordinary Student's
distribution that is symmetric around
. Since Student's
is a heavy tailed distribution, it is so useful for regression analysis in presence of outliers.
Usage
skewtreg(y, x, Fisher=FALSE)
Arguments
y |
vector of response variable. |
x |
vector or matrix of explanatory variable(s). |
Fisher |
Either TRUE or FALSE. By default |
Value
A list of estimated regression coefficients, asymptotic standard error, corresponding p-values, estimated parameters of error term (skew Student's ), F statistic, R-square and adjusted R-square, and observed Fisher information matrix is given.
Author(s)
Mahdi Teimouri
Examples
n<-100
x<-rnorm(n)
y<-2+2*x+rt(n,df=2)
skewtreg(y,x,Fisher=FALSE)