DCML {RobStatTM}

DCML regression estimator

Description

This function computes the DCML regression estimator. This function is used internally by lmrobdetDCML, and not meant to be used directly.

Usage

DCML(x, y, z, z0, control)

Arguments

x

design matrix

y

response vector

z

robust fit as returned by MMPY or SMPY

z0

least squares fit as returned by lm.fit

control

a list of control parameters as returned by lmrobdet.control

Value

a list with the following components

coefficients

the vector of regression coefficients

cov

the estimated covariance matrix of the DCML regression estimator

residuals

the vector of regression residuals from the DCML fit

scale

a robust residual (M-)scale estimate

t0

the mixing proportion between the least squares and robust regression estimators

Author(s)

Victor Yohai, [e-mail], Matias Salibian-Barrera, [e-mail]

References

http://www.wiley.com/go/maronna/robust

See Also

DCML, MMPY, SMPY