SMPY {RobStatTM}

SM regression estimator using Pen~a-Yohai candidates

Description

This function computes a robust regression estimator when there are categorical / dummy explanatory variables. It uses Pen~a-Yohai candidates for the S-estimator. This function is used internally by lmrobdetMM, and not meant to be used directly.

Usage

SMPY(mf, y, control, split)

Arguments

mf

model frame

y

response vector

control

a list of control parameters as returned by lmrobdet.control

split

a list as returned by splitFrame containing the continuous and dummy components of the design matrix

Value

an lmrob object witht the M-estimator obtained starting from the MS-estimator computed with the Pen~a-Yohai initial candidates. The properties of the final estimator (efficiency, etc.) are determined by the tuning constants in the argument control.

Author(s)

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

References

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

See Also

DCML, MMPY, SMPY