ramml {rpls}

Robust Adaptive Modified Maximum Likelihood

Description

Modified Maximum Likelihood (MML) estimators are asymptotically equivalent to the ML estimators but their methodology works under the assumption of a known shape parameter. Robust Adaptive MML estimators weaken this assumption and are robust to vertical outliers as well as leverage points.

Usage

ramml(X,y,p,e)

Arguments

X

predictor matrix

y

response variable

p

shape parameter of long-tailed symmetric distribution (considered as robustness tuning constant)

e

parameter for the linearization of the intractable term

Value

coef

vector of coefficients

scale

estimate of sigma

fitted.values

vector with fitted y-values

residuals

vector with y-residuals

Author(s)

Sukru Acitas <[e-mail]>

References

S. Acitas, Robust Statistical Estimation Methods for High-Dimensional Data with Applications, tech. rep., TUBITAK 2219, International Post Doctoral Research Fellowship Programme, 2019.