| RobRegression-package {RobRegression} | R Documentation |
Robust Multivariate Regression
Description
This Package focuses on multivariate robust Guassian linear regression.
We provide a function Robust_Mahalanobis_regression which enables to obtain robust estimates of the parameters of Multivariate Gaussian Linear Models with the help of the Mahalanobis distance, using a Stochastic Gradient algorithm or a Fix point. This is based on the function Robust_Variance which allows to obtain robust estimation of the variance, and so, also for low rank matrices (see Godichon-Baggioni and RObin (2024) <doi:10.1007/s11222-023-10362-9>)
Robust methods for estimating the parameters of multivariate Gaussian linear models. .
Details
| Package: | RobRegression |
| Type: | Package |
| Title: | Robust Multivariate Regression |
| Version: | 0.1.0 |
| Authors@R: | c(person("Antoine","Godichon-Baggioni", role = c("aut", "cre","cph"), email = "antoine.godichon_baggioni@upmc.fr"), person("Stéphane","Robin", role = "aut"), person("Laure","Sansonnet", role = "aut")) |
| Description: | Robust methods for estimating the parameters of multivariate Gaussian linear models. |
| License: | GPL (>= 2) |
| Encoding: | UTF-8 |
| LazyData: | true |
| Imports: | Rcpp, foreach, doParallel, mvtnorm,parallel,RSpectra , capushe, KneeArrower, fastmatrix, DescTools |
| LinkingTo: | Rcpp, RcppArmadillo |
| NeedsCompilation: | yes |
| Roxygen: | list(markdown = True) |
| RoxygenNote: | 7.1.2 |
| Author: | Antoine Godichon-Baggioni [aut, cre, cph], Stéphane Robin [aut], Laure Sansonnet [aut] |
| Maintainer: | Antoine Godichon-Baggioni <antoine.godichon_baggioni@upmc.fr> |
| Archs: | x64 |
Index of help topics:
RobRegression-package Robust Multivariate Regression
Robust_Mahalanobis_regression
Robust_Mahalanobis_regression
Robust_Variance Robust_Variance
Robust_regression Robust_regression
Author(s)
NA
Maintainer: NA
References
Cardot, H., Cenac, P. and Zitt, P-A. (2013). Efficient and fast estimation of the geometric median in Hilbert spaces with an averaged stochastic gradient algorithm. Bernoulli, 19, 18-43.
Cardot, H. and Godichon-Baggioni, A. (2017). Fast Estimation of the Median Covariation Matrix with Application to Online Robust Principal Components Analysis. Test, 26(3), 461-480
Godichon-Baggioni, A. and Robin, S. (2024). Recursive ridge regression using second-order stochastic algorithms. Computational Statistics & Data Analysis, 190, 107854.
Vardi, Y. and Zhang, C.-H. (2000). The multivariate L1-median and associated data depth. Proc. Natl. Acad. Sci. USA, 97(4):1423-1426.