MmatrM {ssmrob}

M Matrix

Description

M matrix of a linear regression M-estimator of Mallows type.

Usage

MmatrM(x, y, beta, sigma, t.c = 1.345, weights = 1)

Arguments

x

matrix of explanatory variables

y

vector of dependent variables

beta

vector of parameters

sigma

robust scale estimate

t.c

tuning constant c for Huber's psi-function

weights

vector of robustness weights controlling for the leverage effects

Details

Computes the M matrix of the M-estimator of Mallows type. In current implementation only the Huber score function is available.

Value

M matrix for the sandwich formula.

Author(s)

Mikhail Zhelonkin, Marc G. Genton, Elvezio Ronchetti